Title:

Reducing Estimation Risk in Optimal Portfolio Selection When Short Sales Are Allowed

Authors:

Gordon Alexander (U Minnesota)
Alexandre M. Baptista (George Washington U)
Shu Yan (U South Carolina)

Journal:

Managerial And Decision Economics

Year:

2009

Volume:

30

Pages:

281-305

JEL codes:

G11 - Portfolio Choice; Investment Decisions
G23 - Pension Funds; Other Private Financial Institutions