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Estimation Risk and Implicit Value of Index-Tracking
38/38 checkable references clean · checked 2026-08-05
Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.
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The 38 checked references that resolve
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On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results
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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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Optimal Versus Naive Diversification: How Inefficient is the 1/<i>N</i>Portfolio Strategy?
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
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Portfolio Selection: The Effects of Uncertain Means, Variances, and Covariances
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
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The efficient market inefficiency of capitalization–weighted stock portfolios
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Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
resolves10.1016/j.ejor.2013.10.060
60 Years of portfolio optimization: Practical challenges and current trends
resolves10.1016/S0927-5398(03)00007-0
Improved estimation of the covariance matrix of stock returns with an application to portfolio selection
resolves10.1080/07350015.2014.954708
Sparse and Stable Portfolio Selection With Parameter Uncertainty
resolves10.2307/1924119
The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets
resolves10.3386/t0055
A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix
resolves10.1016/j.iref.2017.10.019
Estimation error in mean returns and the mean-variance efficient frontier
resolves10.1016/j.jfineco.2010.08.013
Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies
resolves10.3905/jpm.2015.41.2.084
How Much Error Is in the Tracking Error? <i>The Impact of Estimation Risk on Fund Tracking Error</i>
The 13 references without a DOI — listed, not checked
no DOI — not checkedref4
no DOI — not checkedref6
no DOI — not checkedref8
no DOI — not checkedref16
no DOI — not checkedOptimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case
no DOI — not checkedSparse portfolio selection via the sorted 1 -Norm
no DOI — not checkedref31
no DOI — not checkedref32
no DOI — not checkedref35
no DOI — not checkedCapital asset prices: A theory of market equilibrium under conditions of risk
no DOI — not checkedRational explanation for rule-of-thumb practices in asset allocation
no DOI — not checkedOptimal Portfolio Choice with Estimation Risk: No Risk-free Asset Case
no DOI — not checkedDistributional properties of portfolio weights
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