Multiple tests for the performance of different investment strategies
Year of publication: |
2010
|
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Authors: | Frahm, Gabriel ; Wickern, Tobias ; Wiechers, Christof |
Publisher: |
Cologne : University of Cologne, Seminar of Economic and Social Statistics |
Subject: | Asset allocation | Certainty equivalent | Investment strategy | Markowitz | Multiple tests | Naive diversification | Out-of-sample performance | Portfolio optimization | Sharpe ratio |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 65663958X [GVK] hdl:10419/45355 [Handle] RePEc:zbw:ucdpse:510 [RePEc] |
Classification: | C12 - Hypothesis Testing ; G11 - Portfolio Choice |
Source: |
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