Econometrics of portfolio risk analysis†

DOI10.1080/00207728408926621zbMath0544.90004OpenAlexW2021938988MaRDI QIDQ3335461

Jati K. Sengupta

Publication date: 1984

Published in: International Journal of Systems Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207728408926621

zbMATH Keywords

robustnesssingularitydiversificationrisk sensitivityportfolio risk analysisNew York Stock Exchange

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Cites Work

• A minimax policy for optimal portfolio choice
• Linear Statistical Inference and its Applications
• On the Sampling Theory of Roots of Determinantal Equations

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