Iterative nonparametric estimation of a log-optimal portfolio selection function

DOI10.1109/18.971764MaRDI QIDQ4544791zbMATH OpenOpenAlexFDO

Authors Harro Walk, S. Yakowitz

Publication date 4 August 2002

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.971764

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Portfolio theory (91G10)

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Cited in

(2)

• On a class of recursive estimators for spatially dependent observations
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

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