Multiple tests for the performance of different investment strategies
From MaRDI portal
Publication:1633252
DOI10.1007/s10182-011-0166-1zbMath1443.62348MaRDI QIDQ1633252
Gabriel Frahm, Tobias Wickern, Christof Wiechers
Publication date: 19 December 2018
Published in: AStA. Advances in Statistical Analysis (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/45355
certainty equivalent; portfolio optimization; Sharpe ratio; asset allocation; out-of-sample performance; naive diversification; multiple hypothesis tests
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory