A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Year of publication: |
2021
|
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Authors: | Kircher, Felix ; Rösch, Daniel |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 133.2021, p. 1-15
|
Subject: | Estimation risks | Portfolio optimization | Risk constraint | Sharpe ratio | Transaction costs | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Transaktionskosten | Schätzung | Estimation | Kapitaleinkommen | Capital income | Risikoaversion | Risk aversion | CAPM |
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