The Errors-in-Variable Model in the Optimal Portfolio Construction

DOI10.7494/dmms.2007.1.2.49zbMath1231.91399OpenAlexW1590604261MaRDI QIDQ3011185

Anna Czapkiewicz, Małgorzata MacHowska

Publication date: 28 June 2011

Published in: Decision Making in Manufacturing and Services (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.7494/dmms.2007.1.2.49

zbMATH Keywords

portfoliomaximum likelihood methodsimulation studyerrors-in-variables model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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