Automated portfolio optimization based on a new test for structural breaks
Year of publication: |
2014
|
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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 |
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