A shrinkage approach for Sharpe ratio optimal portfolios with estimation risks
Felix Kircher, Daniel Rösch
| Year of publication: |
2021
|
|---|---|
| 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
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| Subject: | Estimation risks | Portfolio optimization | Risk constraint | Sharpe ratio | Transaction costs | Portfolio-Management | Portfolio selection | Risiko | Risk | Risikomaß | Risk measure | Transaktionskosten | Schätztheorie | Estimation theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2021.106281 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013256632