Comparison of different estimation techniques for portfolio selection
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Cites work
- scientific article; zbMATH DE number 3886886 (Why is no real title available?)
- scientific article; zbMATH DE number 3122730 (Why is no real title available?)
- A well-conditioned estimator for large-dimensional covariance matrices
- Distributional properties of portfolio weights
- Estimation for Markowitz Efficient Portfolios
- Families of minimax estimators of the mean of a multivariate normal distribution
- Modeling asset returns with alternative stable distributions*
- Portfolio Analysis in a Stable Paretian Market
- Prediction and Decision Problems in Regression Models from the Bayesian Point of View
Cited in
(22)- Multiple tests for the performance of different investment strategies
- Bayesian estimation of the global minimum variance portfolio
- Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
- A risk perspective of estimating portfolio weights of the global minimum-variance portfolio
- Impact of error in parameter estimations on large scale portfolio optimization
- Optimal portfolio choice: a minimum expected loss approach
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- scientific article; zbMATH DE number 1086977 (Why is no real title available?)
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- Dominance of a class of Stein type estimators for optimal portfolio weights when the covariance matrix is unknown
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- The optimal portfolio weights using the proportional type estimators
- K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
- Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace
- Approximating the time-weighted return: the case of flows at unknown time
- No-transaction bounds and estimation risk
- Performance of portfolios optimized with estimation error
- A generalized pivotal quantity approach to portfolio selection
- ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Optimal portfolio selection using maximum entropy estimation accounting for the firm specific characteristics
- Statistical inference of the efficient frontier for dependent asset returns
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