An asymptotic analysis of the mean-variance portfolio selection

DOI10.1524/stnd.2007.25.1.63zbMath1211.91226OpenAlexW4272604MaRDI QIDQ5443773

István Vajda, György Ottucsák

Publication date: 22 February 2008

Published in: Statistics & Decisions (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1524/stnd.2007.25.1.63

zbMATH Keywords

sequential investmentlog-optimal investmentkernel-based estimationmean-variance investment

Mathematics Subject Classification ID

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

Related Items (3)

PAMR: passive aggressive mean reversion strategy for portfolio selection ⋮ Online portfolio selection ⋮ Performance analysis of log-optimal portfolio strategies with transaction costs

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