An empirical study on effect of estimation risk on portfolio risk.
This study explores effect of estimation risk on an admissible efficient set and an optimal portfolio based on a Bayesian framework assuming diffuse prior and informative conjugate prior distribution functions. Based on the U.S. sectorial index, the result indicated that, when estimation risk is tak...
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| Format: | Article |
| Language: | English |
| Published: |
2014
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| Online Access: | https://repository.li.mahidol.ac.th/handle/123456789/9892 |
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| Institution: | Mahidol University |
| Language: | English |