Hostname: page-component-586b7cd67f-vdxz6 Total loading time: 0 Render date: 2024-11-28T18:12:12.707Z Has data issue: false hasContentIssue false
  • English
  • Français

Effects of Uncertain and Nonstationary Parameters upon Capital Market Equilibrium Conditions

Published online by Cambridge University Press:  06 April 2009

Christopher B. Barry
Get access Rights & Permissions [Opens in a new window]

Extract

Formal models for portfolio analysis, such as Markowitz [13], are frequently based upon mean-variance analyses and involve the estimation of a mean vector and a variance-covariance matrix describing expected returns and variability of returns for all securities under consideration. These parameter estimates play a major role in the selection of a single, optimal portfolio. Kalymon [9] and Barry [1] have considered the effects of parameter uncertainty upon individual investors' inferences and decisions in the context of portfolio selection, and Barry and Winkler [2] have similarly considered the impact of nonstationary means upon portfolio selection decisions by individual investors.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 13 , Issue 3 , September 1978 , pp. 419 - 433
Copyright
Copyright © School of Business Administration, University of Washington 1978

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

REFERENCES

[1]Barry, Christopher B. ’Portfolio Analysis under Uncertain Means, Variances, and Covariances.” Journal of Finance, Vol. 29 (1974), pp. 515–522.CrossRefGoogle Scholar
[2]Barry, Christopher B., and Winkler, Robert L.. ’Nonstationarity and Portfolio Choice.” Journal of Financial and Quantitative Analysis, Vol. 11 (1976), pp. 217–235.CrossRefGoogle Scholar
[3]Black, Fischer. “Capital Market Equilibrium with Restricted Borrowing.” Journal of Business, Vol. 45 (1972), pp. 444–455.CrossRefGoogle Scholar
[4]Black, Fischer; Jenson, Michael C.; and Scholes, Myron. “The Capital Asset Pricing Model: Some Empirical Tests.” In studies in the Theory of Capital Markets, edited by Jenson, Michael C.. New York: Praeger (1972).Google Scholar
[5]Brown, Stephen J. “The Effect of Estimation Risk on Capital Market Equilibrium.” Unpublished manuscript. Bell Laboratories, Holmdel, N.J. (1977).Google Scholar
[6]DeGroot, Morris H.Optimal Statistical Decisions New York: McGraw-Hill (1970).Google Scholar
[7]Fama, Eugene F. “Risk, Return, and Equilibrium: Some Clarifying Comments.” Journal of Finance, Vol. 23 (1968), pp. 29–40.CrossRefGoogle Scholar
[8]Fama, Eugene F., and Miller, Merton H.. The Theory of Finance. New York: Holt, Rinehart, and Winston(1972).Google Scholar
[9]Kalymon, Basil A. “Estimation Risk in the Portfolio Selection Model.” Journal of Financial and Quantitative Analysis, Vol. 6 (1971), pp. 559–582.CrossRefGoogle Scholar
[10]Lintner, John. “The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets.” Review of Economics and Statistics, Vol. 47 (1965), pp. 13–37.CrossRefGoogle Scholar
[11]Lintner, John. “The Aggregation of Investors' Diverse Judgments and Preferences in Purely Competitive Security Markets.” Journal of Financial and Quantitative Analysis, Vol. 4 (1969), pp. 347–400.CrossRefGoogle Scholar
[12]Lintner, John. “The Market Price of Risk, Size of Market, and Investor's Risk Aversion.” Review of Economics and Statistics, Vol. 52 (1970), pp. 87–99.CrossRefGoogle Scholar
[13]Markowitz, Harry M.Portfolio Selection: Efficient Diversification of Investments. New York: Wiley (1959).Google Scholar
[14]Mossin, Jan. “Equilibrium in a Capital Asset Market.” Econometrica, Vol. 34 (1966), pp. 768–783.CrossRefGoogle Scholar
[15]Mossin, Jan. Theory of Financial Markets. Englewood Cliffs, N.J.: Prentice-Hall (1973).Google Scholar
[16]Roll, Richard. “A Critique of the Asset Pricing Theory's Tests.” Journal of Financial Economics, Vol. 4 (1977), pp. 129–176.CrossRefGoogle Scholar
[17]Rosenberg, Barr. “A Survey of Stochastic Parameter Regression.” Annals of Economic and Social Measurement, Vol. 2 (1973), pp. 381–397.Google Scholar
[18]Sharpe, William F. “Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk.” Journal of Finance, Vol. 19 (1964), pp. 425–442.Google Scholar
[19]Winkler, Robert L. “Bayesian Models for Forecasting Future Security Prices.” Journal of Financial and Quantitative Analysis, Vol. 8 (1973), pp. 387–406.CrossRefGoogle Scholar