A minimax policy for optimal portfolio choice
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Publication:3926314
DOI10.1080/00207728208926329zbMath0471.90015MaRDI QIDQ3926314
Publication date: 1982
Published in: International Journal of Systems Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/00207728208926329
unknown variance; optimal portfolio choice; stochastic decision models; unknown mean; minimax policy
Related Items
Econometrics of portfolio risk analysis†, Optimality and robustness of a minimax portfolio, Selection and ordering in optimal portfolio choice
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