Statistical properties of estimators for the log-optimal portfolio (Q2216173)
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scientific article; zbMATH DE number 7285831
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| English | Statistical properties of estimators for the log-optimal portfolio |
scientific article; zbMATH DE number 7285831 |
Statements
Statistical properties of estimators for the log-optimal portfolio (English)
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15 December 2020
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best constant re-balanced portfolio
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estimation risk
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growth-optimal portfolio
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log-optimal portfolio
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mean-variance optimization
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0.92429113
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0.9209602
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0.9130757
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0.9107628
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0.9076812
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0.90511864
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