The distribution of the sample minimum-variance frontier

Management Science

Volumn 54, Issue 7, 2008, Pages 1364-1380

  Kan, Raymond ^a   Smith, Daniel R ^b  

^a UNIVERSITY OF TORONTO   (Canada)

^b SIMON FRASER UNIVERSITY   (Canada)

Author keywords

Efficiency set constants; Finite sample distribution; Minimum variance frontier

Indexed keywords

NORMAL DISTRIBUTION; SAMPLING;

BIASED ESTIMATORS; ESTIMATION ERRORS; EXACT DISTRIBUTION; FINITE SAMPLES; MINIMUM VARIANCE; OPTIMAL PORTFOLIOS; SAMPLE MEANS;

ESTIMATION;

EID: 61849182089     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1070.0852     Document Type: Article

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