Multiple tests for the performance of different investment strategies

DOI10.1007/s10182-011-0166-1zbMath1443.62348OpenAlexW2035963830MaRDI QIDQ1633252

Christof Wiechers, Tobias Wickern, Gabriel Frahm

Publication date: 19 December 2018

Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/45355

zbMATH Keywords

certainty equivalentportfolio optimizationSharpe ratioasset allocationout-of-sample performancenaive diversificationmultiple hypothesis tests

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Related Items (2)

On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets ⋮ A theoretical foundation of portfolio resampling

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