Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem

DOI10.1007/978-3-030-76829-4_18zbMath1479.91364OpenAlexW3198013323MaRDI QIDQ5014532

Dmitry B. Rokhlin

Publication date: 8 December 2021

Published in: Operator Theory and Harmonic Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-030-76829-4_18

zbMATH Keywords

portfolio selectionstatistical learninggeneralization boundsempirical utilitytails of returns

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

Cites Work

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