The effects of errors in means, variances, and correlations on the mean-variance framework
Munki Chung, Yongjae Lee, Jang Ho Kim, Woo Chang Kim and Frank J. Fabozzi
| Year of publication: |
2022
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|---|---|
| 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
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| Subject: | Investment analysis | Mean-variance framework | Parameter estimation | Sensitivity analysis | Uniformly distributed random portfolio | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Schätztheorie | Estimation theory | Sensitivitätsanalyse | Schätzung | Estimation | CAPM | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2022.2083009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013367960