"KLICing" there and back again : portfolio selection using the empirical likelihood divergence and Hellinger distance
Year of publication: |
2011
|
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Authors: | Haley, M. Ryan ; McGee, M. Kevin |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 18.2011, 2, p. 341-352
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Subject: | Portfolio selection | Skewness | Entropy | Shortfall | Endogenous utility | Portfolio-Management | Theorie | Theory | Entropie | Schätzung | Estimation |
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