Asset allocation by penalized least squares
Year of publication: |
2007
|
---|---|
Authors: | Manganelli, Simone |
Publisher: |
Frankfurt a. M. : European Central Bank (ECB) |
Subject: | Portfolio-Management | Kleinste-Quadrate-Methode | ARCH-Modell | Theorie | mean-risk utility model | Portfolio otpimization | stochastic |
Series: | ECB Working Paper ; 723 |
---|---|
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 523798032 [GVK] hdl:10419/153157 [Handle] RePEc:ecb:ecbwps:20070723 [RePEc] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; G11 - Portfolio Choice |
Source: |
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