Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
Elmira Mynbayeva, John D. Lamb, Yuan Zhao
| Year of publication: |
2022
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|---|---|
| Authors: | Mynbayeva, Elmira ; Lamb, John D. ; Zhao, Yuan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 301.2022, 2 (1.9.), p. 694-707
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| Subject: | Bootstrap aggregation | Estimation risk | Homogeneous subsets | Multivariate statistics | Portfolio optimisation | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory | Aggregation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2021.11.036 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013207672