Mean-variance optimization using forward-looking return estimates
Patrick Bielstein, Matthias X. Hanauer
| Year of publication: |
2019
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|---|---|
| Authors: | Bielstein, Patrick ; Hanauer, Matthias |
| Published in: |
Review of quantitative finance and accounting. - New York, NY : Springer, ISSN 0924-865X, ZDB-ID 1087855-5. - Vol. 52.2019, 3, p. 815-840
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| Subject: | Portfolio optimization | Expected returns | Implied cost of capital | Momentum | Maximum sharpe ratio | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Kapitalkosten | Cost of capital | Schätztheorie | Estimation theory | CAPM | Schätzung | Estimation | Risikoprämie | Risk premium |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11156-018-0727-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012171735