THE STRUCTURE OF THE theory of international finance largely mirrors that of domestic
financial theory. Starting from a micro-theory of individual portfolio choice one obtains, via …

This paper surveys the field of asset pricing. The emphasis is on the interplay between
theory and empirical work and on the trade‐off between risk and return. Modern research …

Event studies focus on the impact of particular types of firm-specific events on the prices of
the affected firms' securities. In this paper, observed stock return data are employed to …

We evaluate the out-of-sample performance of the sample-based mean-variance model,
and its extensions designed to reduce estimation error, relative to the naive 1/N portfolio. Of …

There is considerable literature on the strengths and limitations of mean-variance analysis.
The basic theory and extensions of MV analysis are discussed in Markowitz [1987] and …

This short volume originates in the need to provide a scientific foundation for the advice
offered by financial planners to long-term investors-individuals saving for retirement, or …

This paper investigates the sensitivity of mean-variance (MV)-efficient portfolios to changes
in the means of individual assets. When only a budget constraint is imposed on the …

In portfolio analysis, uncertainty about parameter values leads to suboptimal portfolio
choices. The resulting loss in the investor's utility is a function of the particular estimator …

We provide a general framework for finding portfolios that perform well out-of-sample in the
presence of estimation error. This framework relies on solving the traditional minimum …

We propose a simple model of equilibrium asset pricing in which there are differences in the
amounts of information available for developing inferences about the returns parameters of …