An enhanced Gerber statistic for portfolio optimization
Year of publication: |
2022
|
---|---|
Authors: | Smyth, William ; Broby, Daniel |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 49.2022, p. 1-6
|
Subject: | Equity co-movements | Estimation error | Gerber statistic | Modern portfolio theory | Portfolio optimization | Shrinkage |
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