Stocks, bonds and the investment horizon: a test of time diversification on the French market

DOI10.1088/1469-7688/3/4/310zbMath1405.91570OpenAlexW2100680579MaRDI QIDQ4647278

Gilles Sanfilippo

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/4/310

zbMATH Keywords

stocksportfolio optimizationbondsinvestment horizons

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (3)

ROBUST ASSET ALLOCATION FOR LONG-TERM TARGET-BASED INVESTING ⋮ Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors

Cites Work

• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations

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