More on Estimation Risk and Simple Rules for Optimal Portfolio Selection
研究估计风险对风险厌恶投资者选择最优投资组合的影响，发现全协方差模型下切线组合不受影响，市场模型下虽有影响但通常不显著，可安全忽略。
ABSTRACT For the risk‐averse investor, consideration of estimation risk is important in selecting an expected‐utility‐maximizing portfolio. It has previously been shown that the composition of the tangency portfolio is unaffected by the recognition of estimation risk if the Full Covariance Model is used. Alternatively, if the Market Model is used, the composition of the tangency portfolio has been shown to be affected by the recognition of estimation risk. However, as is demonstrated in this paper, the effect will generally not be as substantive as previously believed and in many situations can be safely ignored.