Bayesian portfolio mean-variance efficiency test with sampling error of Sharpe ratio
Lie-Jane Kao, Huei Ching Soo, and Cheng Few Lee
| Year of publication: |
2024
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|---|---|
| Authors: | Kao, Lie-Jane ; Huei Ching Soo ; Lee, Cheng F. |
| Published in: |
Handbook of investment analysis, portfolio management, and financial derivatives ; Volume 4. - New Jersey : World Scientific, ISBN 978-981-12-6325-5. - 2024, p. 3077-3098
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| Subject: | Bayesian test | Mean-variance efficiency | Ex-post Sharpe ratio | Bayes factor | CRSP value-weighted index | Conditional multivariate F test | Portfolio-Management | Portfolio selection | Bayes-Statistik | Bayesian inference | Theorie | Theory | CAPM | Stichprobenerhebung | Sampling | Statistischer Test | Statistical test | Kapitaleinkommen | Capital income | Statistische Methodenlehre | Statistical theory | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1142/9789811269943_0093 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015049997