Size matters : optimal calibration of shrinkage estimators for portfolio selection
Victor DeMiguel; Alberto Martin-Utrera; Francisco J. Nogales
| Year of publication: |
2013
|
|---|---|
| Authors: | DeMiguel, Victor ; Martin-Utrera, Alberto ; Nogales, Francisco J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 3018-3034
|
| Subject: | Portfolio choice | Estimation error | Shrinkage intensity | Out-of-sample evaluation | Bootstrap | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory | Bootstrap-Verfahren | Bootstrap approach | Schätzung | Estimation | Statistischer Fehler | Statistical error |
| 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/10009777150