Estimating Fundamental Sharpe Ratios : A Kalman Filter Approach
Year of publication: |
2016
|
---|---|
Authors: | Gatfaoui, Hayette |
Publisher: |
[2016]: [S.l.] : SSRN |
Subject: | Zustandsraummodell | State space model | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Schätzung | Estimation |
Extent: | 1 Online-Ressource (38 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2838935 [DOI] |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C16 - Specific Distributions ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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