1 On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
Wolfgang Schmid and Taras Zabolotskyy

AStA Advances in Statistical Analysis
Volume 92, Number 1, 29-34, DOI: 10.1007/s10182-008-0054-5

http://www.springerlink.com/content/b642852389h73324/

2 Comparison of different estimation techniques for portfolio selection
Yarema Okhrin and Wolfgang Schmid

AStA Advances in Statistical Analysis
Volume 91, Number 2, 109-127, DOI: 10.1007/s10182-007-0026-1

http://www.springerlink.com/content/r464122jk64l2732/