scientific article; zbMATH DE number 1462624

MaRDI QIDQ4486942zbMATH OpenFDO

Authors Wojciech Kuryłek

Publication date 21 June 2000

zbMATH Keywords

linear regressionmarket indexportfolio analysisprincipal componentsSharpe model

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Portfolio theory (91G10)

Recommendations

• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Generalised Sharpe Ratios and Asset Pricing in Incomplete Markets *
• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
• The term structure of Sharpe ratios and arbitrage-free asset pricing in continuous time
• Optimal construction and rebalancing of index-tracking portfolios
• The structural Sharpe model under t-distributions
• Portfolio Benchmarking Under Drawdown Constraint and Stochastic Sharpe Ratio
• THE SHARPE RATIO AND PREFERENCES: A PARAMETRIC APPROACH
• Computational Science - ICCS 2004
• A tractable model for indices approximating the growth optimal portfolio

Cited in

(7)

• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Factor analysis of the Lithuanian equity market indices
• The errors-in-variable model in the optimal portfolio construction
• Construction of statistical index for banking sector in Indian stock market
• scientific article; zbMATH DE number 910801 (Why is no real title available?)
• The structural Sharpe model under t-distributions
• Application of Luenberger shortage function on the Zagreb stock exchange: analysis of efficient market portfolio

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4486942)