Multiple tests for the performance of different investment strategies
type: Item
instance of: scholarly article
title: Multiple tests for the performance of different investment strategies
zbMATH Open document ID: 1443.62348
author: Gabriel Frahm
author: Tobias Wickern
author: Christof Wiechers
published in: AStA. Advances in Statistical Analysis
publication date: 2018-12-19T00:00:00Z
full work available at URL: http://hdl.handle.net/10419/45355
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6995896
zbMATH Keywords: asset allocation
zbMATH Keywords: certainty equivalent
zbMATH Keywords: multiple hypothesis tests
zbMATH Keywords: naive diversification
zbMATH Keywords: out-of-sample performance
zbMATH Keywords: portfolio optimization
zbMATH Keywords: Sharpe ratio
MaRDI profile type: Publication
OpenAlex ID: W2035963830
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DOI: 10.1007/S10182-011-0166-1
description: scientific article; zbMATH DE number 6995896