Modeling manager confidence in forecasted excess returns under active portfolio management
Year of publication: |
2014
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---|---|
Authors: | Birge, John R. ; Chávez-Bedoya, Luis |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 15.2014, 6, p. 353-365
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Subject: | active portfolio management | generalized hyperbolic distribution | normal Inverse Gaussian distribution | estimation risk | Theorie | Theory | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Schätzung | Estimation |
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