On the impact of conditional expectation estimators in portfolio theory
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Publication:1789633
DOI10.1007/s10287-017-0282-9zbMath1416.91357OpenAlexW2621880186MaRDI QIDQ1789633
Noureddine Kouaissah, Sergio Ortobelli, Tomas Tichý
Publication date: 10 October 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-017-0282-9
dimensionality reductionreward measureconditional expectation estimatorlarge-scale portfolio selection
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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