Pages that link to "Item:Q732229"
From MaRDI portal
The following pages link to On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio (Q732229):
Displaying 10 items.
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- Quantile-based optimal portfolio selection (Q2051167) (← links)
- Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset (Q2397571) (← links)
- The large-sample distribution of the maximum Sharpe ratio with and without short sales (Q2630355) (← links)
- A test on the location of the tangency portfolio on the set of feasible portfolios (Q2656730) (← links)
- On the exact distribution of the estimated expected utility portfolio weights: Theory and applications (Q3107437) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models (Q5400826) (← links)
