Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances

George M. Frankfurter, Herbert E. Phillips and John P. Seagle

Journal of Financial and Quantitative Analysis, 1971, vol. 6, issue 5, 1251-1262

Abstract: Present models for selecting portfolios according to the mean-variance criteria do not account for the simultaneous effect of error in estimating means, variances, and covariances of security returns. This paper describes an experiment in which the impact of estimation error is so strong that the usefulness of present mean-variance approaches to portfolio selection is brought into question.

Date: 1971
References: Add references at CitEc
Citations: View citations in EconPapers (63)

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:6:y:1971:i:05:p:1251-1262_02

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 ().