Sparse and stable portfolio selection with parameter uncertainty
Jiahan Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Li, Jiahan |
| Published in: |
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association. - Alexandria, Va. : American Statistical Association, ISSN 0735-0015, ZDB-ID 876122-X. - Vol. 33.2015, 3, p. 381-392
|
| Subject: | Mean-variance analysis | Penalized least squares | Portfolio selection | Shrinkage estimation | Portfolio-Management | Schätztheorie | Estimation theory | Kleinste-Quadrate-Methode | Least squares method |
| 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/10011390391