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• W1541232881 abstract "Abstract The theory of portfolio selection introduced by Markowitz and further developed since 1952 by him and many other researchers is based on expected values, variances, and covariances, as well as on other parameters of the multivariate probability distribution of asset returns. The literature on this subject is large and much of it is very well known. In practice, use of these methods and hence the ex post performance of portfolios constructed using them depends on the use of estimates of population parameters. In contrast to the literature on portfolio selection, the number of papers that address the effect of the use of estimated parameters is relatively small. Furthermore, albeit with some notable exceptions, this literature is not generally well known. Nonetheless, the published body of research in this area, which includes a number of recent papers, does form a coherent and substantial body of methods. These may be classified in three areas: (1) properties of the vector of portfolio weights; (2) the distribution of the three scalar parameters that determine the location, scale, and slope of the efficient frontier; and (3) a small literature concerned with ex post performance. This chapter is concerned with the first topic. It contains a summary of the state of the art and some new results. These are exemplified with a study using a number of FTSE indices. The chapter concludes with a short discussion of outstanding research issues." @default.
• W1541232881 created "2016-06-24" @default.
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• W1541232881 date "2015-05-11" @default.
• W1541232881 modified "2023-09-27" @default.
• W1541232881 title "Statistical Properties and Tests of Efficient Frontier Portfolios" @default.
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• W1541232881 doi "https://doi.org/10.1002/9781119080305.ch9" @default.
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