Asset allocation under predictability and parameter uncertainty using LASSO
Andrea Rigamonti, Alex Weissensteiner
| Year of publication: |
2020
|
|---|---|
| Authors: | Rigamonti, Andrea ; Weissensteiner, Alex |
| Subject: | LASSO | Cross-validation | Return predictability | Parameter uncertainty | Portfolio selection | Portfolio-Management | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Risiko | Risk | Schätztheorie | Estimation theory | Bayes-Statistik | Bayesian inference |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal ; Konferenzbeitrag ; Conference paper |
| Language: | English |
| Other identifiers: | 10.1007/s10287-020-00367-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012272060