Theoretical and empirical estimates of mean-variance portfolio sensitivity
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Publication:2514711
DOI10.1016/j.ejor.2013.04.018zbMath1304.91206OpenAlexW3125360875WikidataQ57949112 ScholiaQ57949112MaRDI QIDQ2514711
Jan Palczewski, Andrzej Palczewski
Publication date: 3 February 2015
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.018
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Related Items (8)
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Uses Software
Cites Work
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- Methods and Applications of Linear Models
- Finite Sample Properties of Estimators for the Optimal Portfolio Weight
- Bootstrap Methods for Time Series
- On blocking rules for the bootstrap with dependent data
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