Automated portfolio optimization based on a new test for structural breaks
Tobias Berens, Dominik Wied, Daniel Ziggel
| Year of publication: |
2014
|
|---|---|
| Authors: | Berens, Tobias ; Wied, Dominik ; Ziggel, Daniel |
| Published in: |
Acta Universitatis Danubius / Oeconomica. - Galati : Ed. Universitaria Danubius, ISSN 2065-0175, ZDB-ID 2543389-1. - Vol. 10.2014, 2, p. 243-264
|
| Subject: | Fluctuation Test | Markowitz | Structural Break | Strukturbruch | Structural break | Portfolio-Management | Portfolio selection | Statistischer Test | Statistical test | Schätztheorie | Estimation theory | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010401331