An improvement of the parameter certainty equivalence method in portfolio selection

DOI10.1023/A:1011488924784zbMath1054.91039OpenAlexW97807556MaRDI QIDQ1415422

Hiroyuki Kashima

Publication date: 4 December 2003

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1011488924784

zbMATH Keywords

expected utilityBayesian approach

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown

This page was built for publication: An improvement of the parameter certainty equivalence method in portfolio selection