Mitigating estimation risk in asset allocation : diagonal models versus 1/N diversification
Year of publication: |
August 2016
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Authors: | Stivers, Christopher T. ; Sun, Licheng |
Published in: |
The financial review : the official publication of the Eastern Finance Association. - Malden, Mass. [u.a.] : Blackwell, ISSN 0732-8516, ZDB-ID 864322-2. - Vol. 51.2016, 3, p. 403-433
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Subject: | portfolio optimization | naïve diversification | idiosyncratic volatility | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Diversifikation | Diversification | Kapitaleinkommen | Capital income | Risiko | Risk | Theorie | Theory | Schätzung | Estimation | Risikomaß | Risk measure |
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