An enhanced Gerber statistic for portfolio optimization
William Smyth, Daniel Broby
| Year of publication: |
2022
|
|---|---|
| Authors: | Smyth, William ; Broby, Daniel |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-6
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| Subject: | Equity co-movements | Estimation error | Gerber statistic | Modern portfolio theory | Portfolio optimization | Shrinkage | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2022.103229 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013479651