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Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances

Published online by Cambridge University Press:  19 October 2009

George M. Frankfurter ,
Herbert E. Phillips  and
John P. Seagle
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Extract

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 security returns. This paper describes an experiment in which the impact of estimation error is so strong that the usefulness of present mean-variance approaches to portfolio selection is brought into question.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 6 , Issue 5 , December 1971 , pp. 1251 - 1262
Copyright
Copyright © School of Business Administration, University of Washington 1971

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References

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