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- Title
THE EFFECTS OF SAMPLING FLUCTUATIONS ON THE REQUIRED INPUTS OF SECURITY ANALYSIS.
- Authors
Burgess, Richard C.; Johnson, Keith H.
- Abstract
The objective of this research is to extend the work of Dickinson to more than two assets and to test the robustness of Markowitz's model to sampling fluctuations. The consequences of this sampling error will be traced through the subsequent portfolio analysis and to its influence on ex post portfolio performance. Those who have conducted empirical investigations in portfolio analysis realize the tenuous assumptions that are required. Decisions regarding length of holding period, i.e., monthly or quarterly, and the number of observations, T, thus far could only be based on an educated guess. This project is a preliminary attempt to address the latter problem.
- Subjects
INVESTMENT analysis; ASSETS (Accounting); STATISTICAL sampling; PORTFOLIO performance; DICKINSON, J. P.; MARKOWITZ, Harry M., 1927-
- Publication
Journal of Financial & Quantitative Analysis, 1976, Vol 11, Issue 5, p847
- ISSN
0022-1090
- Publication type
Article
- DOI
10.2307/2330584