Statistically efficient construction of \(a\)-risk-minimizing portfolio

DOI10.1155/2012/980294zbMath1244.91085OpenAlexW2073720626WikidataQ58697872 ScholiaQ58697872MaRDI QIDQ444218

Takayuki Shiohama, Hiroyuki Taniai

Publication date: 14 August 2012

Published in: Advances in Decision Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2012/980294

zbMATH Keywords

\(a\)-risk-minimizing portfoliossemiparametrically efficient estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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