The effects of errors in means, variances, and correlations on the mean-variance framework
Year of publication: |
2022
|
---|---|
Authors: | Chung, Munki ; Lee, Yongjae ; Kim, Jang Ho ; Kim, Woo Chang ; Fabozzi, Frank J. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 22.2022, 10, p. 1893-1903
|
Subject: | Investment analysis | Mean-variance framework | Parameter estimation | Sensitivity analysis | Uniformly distributed random portfolio | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | Schätzung | Estimation | CAPM |
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