Market truths: theory versus empirical simulations

DOI10.1080/10629360500107709zbMATH Open1089.62124OpenAlexW2025259922MaRDI QIDQ5290903FDOQ5290903

William C. Wojciechowski, James R. Thompson

Publication date: 3 May 2006

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10629360500107709

zbMATH Keywords

exploratory data analysissimulationrisk measuresportfolio selectionefficient marketsmarket portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (1)

• Sample and realized minimum variance portfolios: estimation, statistical inference, and tests

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