The Gerber statistic : a robust co-movement measure for portfolio optimization
Sander Gerber, Harry M. Markowitz, Philip A. Ernst, Yinsen Miao, Babak Javid and Paul Sargen
| Year of publication: |
2022
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|---|---|
| Authors: | Gerber, Sander ; Markowitz, Harry ; Ernst, Philip A. ; Miao, Yinsen ; Javid, Babak ; Sargen, Paul |
| Published in: |
The journal of portfolio management : JPM. - London : IPR Journals, ISSN 2168-8656, ZDB-ID 2046318-2. - Vol. 48.2022, 3, p. 87-102
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| Subject: | Portfolio-Management | Portfolio selection | Theorie | Theory | Robustes Verfahren | Robust statistics | Mathematische Optimierung | Mathematical programming | Korrelation | Correlation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.3905/jpm.2021.1.316 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013175439