The Effect of Estimation Risk on Capital Market Equilibrium

Stephen Brown ()

Journal of Financial and Quantitative Analysis, 1979, vol. 14, issue 2, 215-220

Abstract: The solution to the problem of portfolio choice is relevant in a positive financial economics context because it provides models of individual maximizing behavior which when aggregated to the level of the market provide models of equilibrium asset pricing. These models generally assume that the parameters of the probability distribution of security returns are known to individual investors. In practice, however, the individual has to estimate these parameters. To the extent that there is parameter uncertainty or “estimation risk”, what are the observable implications of a market equilibrium derived on the assumption that the information set of all investors is equivalent to a given set of sample data?

Date: 1979
References: Add references at CitEc
Citations: View citations in EconPapers (41)

Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:14:y:1979:i:02:p:215-220_00

Access Statistics for this article

More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().