Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Tim Leung; Qingshuo Song; Jie Yang
| Year of publication: |
2013
|
|---|---|
| Authors: | Leung, Tim ; Song, Qingshuo ; Yang, Jie |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 839-870
|
| Subject: | portfolio optimization | quantile hedging | Neyman-Pearson lemma | stochastic benchmark | hypothesis testing | Portfolio-Management | Portfolio selection | Theorie | Theory | Stochastischer Prozess | Stochastic process | Hedging | Statistischer Test | Statistical test | Mathematische Optimierung | Mathematical programming | Benchmarking |
| 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/10010190872