Pages that link to "Item:Q3627403"
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The following pages link to Estimation of optimal portfolio compositions for Gaussian returns (Q3627403):
Displaying 22 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)
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood (Q454470) (← links)
- A closed-form solution of the multi-period portfolio choice problem for a quadratic utility function (Q492800) (← links)
- Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
- Singular inverse Wishart distribution and its application to portfolio theory (Q900811) (← links)
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach (Q951337) (← links)
- Determination and estimation of risk aversion coefficients (Q1616811) (← links)
- How risky is the optimal portfolio which maximizes the Sharpe ratio? (Q1622090) (← links)
- Optimal shrinkage estimator for high-dimensional mean vector (Q1733270) (← links)
- On the equivalence of quadratic optimization problems commonly used in portfolio theory (Q2355895) (← links)
- A test on the location of the tangency portfolio on the set of feasible portfolios (Q2656730) (← links)
- On the product of inverse Wishart and normal distributions with applications to discriminant analysis and portfolio theory (Q2911668) (← 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)
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS (Q3444868) (← links)
- Zur optimalen schätzung des strukturparameters eines kollektivs einander ähnlicher kleiner bestände (Q4699068) (← links)
- Bayesian mean–variance analysis: optimal portfolio selection under parameter uncertainty (Q4991069) (← links)
- A test on mean-variance efficiency of the tangency portfolio in high-dimensional setting (Q5003657) (← links)
- Bayesian estimation of the efficient frontier (Q5242893) (← links)
- Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace (Q5402494) (← links)
- Statistical inference procedure for the mean-variance efficient frontier with estimated parameters (Q5963003) (← links)
- Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions (Q6063734) (← links)
