OPTIMAL PORTFOLIO CHOICE UNDER INCOMPLETE INFORMATION

被引:167
作者
GENNOTTE, G
机构
关键词
D O I
10.2307/2328506
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
引用
收藏
页码:733 / 746
页数:14
相关论文
共 18 条
[1]   AN INTERTEMPORAL GENERAL EQUILIBRIUM-MODEL OF ASSET PRICES [J].
COX, JC ;
INGERSOLL, JE ;
ROSS, SA .
ECONOMETRICA, 1985, 53 (02) :363-384
[2]  
DETEMPLE J, THESIS U PENNSYLVANI
[3]  
DOTHAN U, WP84133 VAND U OW GR
[4]  
FELDMAN D, THESIS NW U
[5]  
GENNOTTE G, VARIATIONS EX ANTE R
[6]  
KALMAN R. E., 1961, T ASME D, V83, P95, DOI DOI 10.1115/1.3658902
[7]   EFFECT OF ESTIMATION RISK ON OPTIMAL PORTFOLIO CHOICE [J].
KLEIN, RW ;
BAWA, VS .
JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) :215-231
[8]   EFFECT OF LIMITED INFORMATION AND ESTIMATION RISK ON OPTIMAL PORTFOLIO DIVERSIFICATION [J].
KLEIN, RW ;
BAWA, VS .
JOURNAL OF FINANCIAL ECONOMICS, 1977, 5 (01) :89-111
[9]  
LIPTSER RS, 1978, STATISTICS RANDOM PR, V2
[10]  
LIPTSER RS, 1977, STATISTICS RANDOM PR, V1