Is the MV efficient portfolio really that sensitive to estimation errors?

MaRDI QIDQ3626429zbMATH OpenFDO

Authors Zhiping Chen, Caie Zhao

Publication date 22 May 2009

zbMATH Keywords

estimation errorLipschitz continuityMV modelsensitivity

Mathematics Subject Classification ID

Point estimation (62F10)

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(6)

• The impact of covariance misspecification in risk-based portfolios
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• Portfolio Resampling in Malaysian Equity Market
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