Quantitative portfolio selection : using density forecasting to find consistent portfolios
N. Meade, J.E. Beasley, C.J. Adcock
| Year of publication: |
2021
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| Authors: | Meade, Nigel ; Beasley, John E. ; Adcock, C. J. |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 288.2021, 3 (1.2.), p. 1053-1067
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| Subject: | Portfolio selection | Mean-variance optimisation | Portfolio optimisation | Estimation errors | Portfolio-Management | Prognoseverfahren | Forecasting model | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.06.033 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012387456