The errors-in-variable model in the optimal portfolio construction

DOI10.7494/DMMS.2007.1.2.49MaRDI QIDQ3011185zbMATH OpenOpenAlexFDO

Authors Anna Czapkiewicz, Małgorzata MacHowska

Publication date 28 June 2011

Published in Decision Making in Manufacturing and Services (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7494/dmms.2007.1.2.49

zbMATH Keywords

maximum likelihood methodportfoliosimulation studyerrors-in-variables model

Mathematics Subject Classification ID

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

Recommendations

• scientific article; zbMATH DE number 1462624
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• The optimal portfolio weights using the proportional type estimators
• The structural Sharpe model under t-distributions
• Sensitivity to estimation errors in mean-variance models

Cited in

(4)

• Capital asset pricing models revisited: evidence from errors in variables
• The structural Sharpe model under t-distributions
• Jackknife Estimator for Tracking Error Variance of Optimal Portfolios
• Influence diagnostics for the structural sharpe model under normal/independent distributions

This page was built for publication: The errors-in-variable model in the optimal portfolio construction

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3011185)