Estimation of optimal portfolio weights under parameter uncertainty and user-specified constraints: a perturbation method

DOI10.1080/15598608.2013.795125zbMath1422.91642OpenAlexW2079528999MaRDI QIDQ2320916

Christopher J. Bennett, Ričardas Zitikis

Publication date: 27 August 2019

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15598608.2013.795125

zbMATH Keywords

bootstrapoptimizationresamplingriskportfolio selection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40) Portfolio theory (91G10)

Related Items (1)

Background risk models and stepwise portfolio construction

Cites Work

• Asset pricing and portfolio selection based on the multivariate extended skew-student-\(t\) distribution
• Portfolio selection with higher moments
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