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Robust reverse engineering of cross-sectional returns and improved portfolio allocation performance using the CAPM
Ni, Xiaohui; Malevergne, Yannick; Sornette, Didier; … - 2011
. CAPM, Mean-Variance Portfolio Optimization, Constrained Optimization, Fama-French, Value-Size Portfolios, Dynamical …
Persistent link: https://www.econbiz.de/10009009611
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Parameter uncertainty in multiperiod portfolio optimization with transaction costs
DeMiguel, Victor; Martín-Utrera, Alberto; Nogales, … - In: Journal of financial and quantitative analysis : JFQA 50 (2015) 6, pp. 1443-1471
Persistent link: https://www.econbiz.de/10011479445
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Optimal industrial classification : [an application to the German industrial classification system]
Chipman, John Somerset; Winker, Peter - 1994
of the problem of choosing an aggregative model optimally for modes of aggregation specified in advance leads to a … formula for the aggregation bias based on the mean-square forecast error. Taking this formula as objective function one would … wish to choose a grouping that minimizes aggregation bias. Unfortunately this results in an optimization problem of a high …
Persistent link: https://www.econbiz.de/10009774715
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Optimal industrial classification
Chipman, John Somerset; Winker, Peter - 1994
Persistent link: https://www.econbiz.de/10013388119
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Optimal pricing with costly adjustment : evidence from retail-grocery prices
Slade, Margaret Emily - In: The review of economic studies 65 (1998) 1, pp. 87-107
Persistent link: https://www.econbiz.de/10001238785
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On the optimal lifetime of nuclear power plants
Rothwell, Geoffrey Scott - In: Journal of business & economic statistics : JBES ; a … 15 (1997) 2, pp. 195-208
Persistent link: https://www.econbiz.de/10001335364
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Cost effective control of long-run temperature change : tradeable CO 2 permits
Kosobud, Richard F. (contributor) - In: World resource review 5 (1993) 4, pp. 488-501
Persistent link: https://www.econbiz.de/10001153682
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Estimating the number and location of knots in spline regressions
Marsh, Lawrence C. - In: The journal of applied business research 2 (1986) 2, pp. 60-70
Persistent link: https://www.econbiz.de/10001157279
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Measuring technical and scale ineffeciencies in the beer industry : nonparametric and parametric evidence
Elyasiani, Elyas - In: The quarterly review of economics and finance : journal … 33 (1993) 4, pp. 383-408
Persistent link: https://www.econbiz.de/10001157871
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Optimal mean-variance portfolio selection using Cauchy-Schwarz maximization
Chen, Hsin-hung; Tsai, Hsien-tang; Lin, Dennis K. J. - In: Applied economics 43 (2011) 19/21, pp. 2795-2801
Persistent link: https://www.econbiz.de/10009379590