Statistical properties of estimators for the log-optimal portfolio
Year of publication: |
2020
|
---|---|
Authors: | Frahm, Gabriel |
Subject: | Best constant re-balanced portfolio | Estimation risk | Growth-optimal portfolio | Log-optimal portfolio | Mean-variance optimization | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
-
Statistical properties of estimators for the log-optimal portfolio
Frahm, Gabriel, (2020)
-
Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond, (2022)
-
Multi-period mean-variance portfolio optimization based on Monte-Carlo simulation
Cong, F., (2016)
- More ...
-
Dominating estimators for theglobal minimum variance portfolio
Frahm, Gabriel, (2009)
-
Statistical properties of estimators for the log-optimal portfolio
Frahm, Gabriel, (2020)
-
Linear statistical inference for global and local minimum variance portfolios
Frahm, Gabriel, (2007)
- More ...