On the Diversification, Observability, and Measurement of Estimation Risk
重新审视投资者对收益率分布参数的不确定性如何影响风险收益关系，从分散化、可观测性和度量三个角度澄清估计风险的核心问题，对资产定价和投资组合研究者有参考价值。
This paper reexamines how risk return relationships are affected by investor uncertainty about the exact parameters of the joint rate of return distribution. We attempt to clarify results relating to three central issues. First, we address the issue of diversification, focusing on an APT, factor model framework. Second, we discuss the observability of estimation risk and describe research experimental designs that should encompass the existence of estimation risk and reveal it in the data. Finally, we suggest exploiting contemporaneous return observations on high and low information securities to aid in the measurement of return parameters for low information securities.