Evaluation methods for portfolio management

DOI10.1002/asmb.2535MaRDI QIDQ6578151

Wai Keung Li, Keith K. F. Law, Philip L. H. Yu

Publication date: 25 July 2024

Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

zbMATH Keywords

asymptotic analysistracking errorequivalence testinginformation ratiopassive vs active portfolio management

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Unnamed Item
• Large Sample Properties of Generalized Method of Moments Estimators
• Optimum consumption and portfolio rules in a continuous-time model
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Testing Statistical Hypotheses of Equivalence and Noninferiority
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• On a measure of lack of fit in time series models

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