THE OPTIMAL PORTFOLIO WEIGHTS USING THE PROPORTIONAL TYPE ESTIMATORS

DOI10.17654/MS101030643zbMath1369.62286MaRDI QIDQ5269602

Dedi Rosadi, Epha Diana Supandi, Abdurakhman

Publication date: 27 June 2017

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/10533.htm

zbMATH Keywords

error estimationmaximum likelihood estimatorrisk functionexpected loss functionmultivariate returnsproportional type estimators

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

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