ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS

DOI10.1142/S0219024908004798zbMath1152.91544MaRDI QIDQ3520338

Wolfgang Schmid, Yarema Okhrin

Publication date: 26 August 2008

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82)

Related Items

Determination and estimation of risk aversion coefficients ⋮ Sampling distributions of optimal portfolio weights and characteristics in small and large dimensions ⋮ Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace ⋮ Flexible shrinkage in portfolio selection ⋮ On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio ⋮ On the equivalence of quadratic optimization problems commonly used in portfolio theory

Cites Work

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