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Year of publication
Subject
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GVF diagnostic statistics 1 Mean-variance e .cient frontier 1 Model risk 1 Outliers 1 Robust es-timation 1 panel survey 1 variance e 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 2
Language
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English 1 Undetermined 1
Author
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Garrett, Joseph K. 1 Jang, Don 1 Owens, William B. 1 Perret-Gentil, Cédric 1 Piotrowski, Frank W. 1 Victoria-Feser, Maria-Pia 1
Institution
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Mathematica Policy Research 1 Swiss Finance Institute 1
Published in...
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FAME Research Paper Series 1 Mathematica Policy Research Reports 1
Source
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RePEc 2
Showing 1 - 2 of 2
Cover Image
Robust Mean-Variance Portfolio Selection
Perret-Gentil, Cédric; Victoria-Feser, Maria-Pia - Swiss Finance Institute - 2005
This paper investigates model risk issues in the context of mean-variance portfolio selection. We analytically and numerically show that, under model misspecification, the use of statistically robust estimates instead of the widely used classical sample mean and covariance is highly beneficial...
Persistent link: https://www.econbiz.de/10005771816
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Cover Image
Generalized Variance Function Methodology for ACNielsen's Homescan Household Panel Survey.
Jang, Don; Garrett, Joseph K.; Piotrowski, Frank W.; … - Mathematica Policy Research - 2000
Persistent link: https://www.econbiz.de/10010556923
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