Parameter uncertainty in multiperiod portfolio optimization with transaction costs
Year of publication: |
2013-06
|
---|---|
Authors: | Miguel, Victor de ; Utrera, Alberto Martín ; Nogales, Francisco J. |
Institutions: | Departamento de Estadistica, Universidad Carlos III de Madrid |
Subject: | Estimation error | Shrinkage portfolios | Trading costs | Out-of-sample performance |
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