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 |
Publisher: |
Cologne : University of Cologne, Seminar of Economic and Social Statistics |
Subject: | Asset allocation | Bayes-Stein estimator | CAPM estimator | James-Stein estimator | Minimum-variance estimator | Naive diversification | Out-ofsample performance | Risk function | Shrinkage estimation |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 656636300 [GVK] hdl:10419/45362 [Handle] RePEc:zbw:ucdpse:110 [RePEc] |
Classification: | C13 - Estimation ; G11 - Portfolio Choice |
Source: |
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Frahm, Gabriel, (2010)
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