Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem (Q5014532)
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scientific article; zbMATH DE number 7440868
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| English | Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem |
scientific article; zbMATH DE number 7440868 |
Statements
Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem (English)
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8 December 2021
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portfolio selection
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statistical learning
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empirical utility
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generalization bounds
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tails of returns
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0.9061514735221864
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0.753826916217804
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0.7533280253410339
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