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Estimation risk and optimal portfolio choice

, , and . Studies in Bayesian econometrics North-Holland Publ., Amsterdam u.a., (1979)

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Optimal instruments when the disturbances are small. Journal of Econometrics, 9 (3): 368--377 (February 1979)The information criterion in model selection. Economics Letters, 3 (3): 243--248 (1979)The effect of estimation risk on optimal portfolio choice, and . Journal of Financial Economics, 3 (3): 215--231 (June 1976)Estimation risk and optimal portfolio choice, , and . Studies in Bayesian econometrics North-Holland Publ., Amsterdam u.a., (1979)Shift Restrictions and Semiparametric Estimation in Ordered Response Models, and . Econometrica, 70 (2): 663--691 (60 03 2002)doi: 10.1111/1468-0262.00299.Specification tests for binary choice models based on index quantiles. Journal of Econometrics, 59 (3): 343--375 (October 1993)Comment. Econometric Reviews, 2 (1): 115--119 (1983)Some results on an approximation to joint distributions of utility functions, and . Economics Letters, 22 (2-3): 123--125 (1986)The effect of limited information and estimation risk on optimal portfolio diversification, and . Journal of Financial Economics, 5 (1): 89--111 (August 1977)Comment. Econometric Reviews, 1 (1): 137--140 (1982)