Nonparametric nearest neighbor based empirical portfolio selection strategies

DOI10.1524/stnd.2008.0917zbMath1151.62080OpenAlexW2027264865MaRDI QIDQ5502855

Harro Walk, László Györfi, Frederic Udina

Publication date: 9 January 2009

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2008.0917

zbMATH Keywords

nearest neighbor estimationsequential investmentuniversally consistent portfolios

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric estimation (62G05) Inference from stochastic processes (62M99) Sequential estimation (62L12) Portfolio theory (91G10)

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