An efficient method of evaluating portfolio risk and return

DOI10.1007/S00180-012-0362-9zbMATH Open1305.65027OpenAlexW2144070657MaRDI QIDQ2255933

Gimmi Dallago, Riccardo Bramante

Publication date: 18 February 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-012-0362-9

zbMATH Keywords

portfolio selectiontracking errorIAS-IFRSrisk and return

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (3)

Estimating probabilities relevant to calculating relative risk-corrected returns of alternative portfolios ⋮ The returns and risks of investment portfolio in a financial market ⋮ Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints

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