An analytical investigation of estimators for expected asset returns from the perspective of optimal asset allocation
Year of publication: |
2010
|
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Authors: | Frahm, Gabriel |
Institutions: | Seminar für Wirtschafts- und Sozialstatistik, Wirtschafts- und Sozialwissenschaftliche Fakultät |
Subject: | Asset allocation | Bayes-Stein estimator | CAPM estimator | James-Stein estimator | Minimum-variance estimator | Naive diversification | Out-ofsample performance | Risk function | Shrinkage estimation |
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