Comparing large-sample maximum Sharpe ratios and incremental variable testing
type: Item
instance of: scholarly article
title: Comparing large-sample maximum Sharpe ratios and incremental variable testing
zbMATH Open document ID: 1376.62063
author: Michael Hanke
author: Spiridon Penev
published in: European Journal of Operational Research
publication date: 2017-11-23T00:00:00Z
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 62F03
Mathematics Subject Classification ID: 62H15
zbMATH DE Number: 6811857
zbMATH Keywords: multivariate statistics
zbMATH Keywords: finance
zbMATH Keywords: maximum Sharpe ratio
zbMATH Keywords: incremental variables
zbMATH Keywords: mean-variance spanning
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.08.018
OpenAlex ID: W2745613715
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DOI: 10.1016/J.EJOR.2017.08.018
description: scientific article; zbMATH DE number 6811857