Statistical portfolio estimation under the utility function depending on exogenous variables
From MaRDI portal
(Redirected from Publication:764799)
Recommendations
- On the exact distribution of the estimated expected utility portfolio weights: theory and applications
- Statistical estimation of optimal portfolios for Gaussian dependent returns of assets
- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- Statistical properties of a two dimensional optimal portfolio
Cites work
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- Limiting behavior of functionals of higher-order sample cumulant spectra
- On estimation of the integrals of the fourth order cumulant spectral density
- Statistical estimation in generalized multiparameter likelihood models
Cited in
(4)- STATISTICAL ESTIMATION OF OPTIMAL PORTFOLIOS FOR LOCALLY STATIONARY RETURNS OF ASSETS
- Optimal portfolio estimation for dependent financial returns with generalized empirical likelihood
- scientific article; zbMATH DE number 6766521 (Why is no real title available?)
- scientific article; zbMATH DE number 6177832 (Why is no real title available?)
This page was built for publication: Statistical portfolio estimation under the utility function depending on exogenous variables
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q764799)