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 …

In this paper, the Markowitz and Sharpe portfolio selection approaches are viewed as alternative
analytic processes for portfolio selection. By “analytic process,” we mean a process that …

It is generally recognized (Myers, 1972, p. 626) that estimated security beta coefficients are
subject to error, but it is also widely accepted as fact that such-error will average out in …

The paper supposes, consistent with law, that single or married Social Security beneficiaries
view an initiation or postponement decision in terms of a sequential decision process rather …

The irrelevance of capital structure in determining the value of the firm first was demonstrated
by Modigliani and Miller [8]. Using the capital asset pricing model, Hamada [4] shows that …

In their recent paper Porter, Wart, and Ferguson (PWF) [6] discuss the factors which they
allege to be responsible for “the time-consuming nature of empirical tests of” stochastic …

Where rates of return are perfectly correlated, risk reduction through diversification cannot
be achieved. Where rates of return are less than perfectly correlated, however, then, to the …

A new round in an ongoing discussion about the usefulness and validity of the Capital Asset
Pricing Model (CAPM) began with an academic paper by Fama and French. The tumult is …

The Markowitz full covariance model provides a general framework for analysis of the
porfolio selection problem. Three alternative solution methodologies have been developed to …

This paper explores the ex post performance of four widely cited (and sometimes applied)
normative portfolio selection models. Each is supposed to solve the same portfolio selection …