Statistical properties of estimators for the log-optimal portfolio
Gabriel Frahm
| Year of publication: |
2020
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|---|---|
| Authors: | Frahm, Gabriel |
| Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 92.2020, 1, p. 1-32
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| Subject: | Best constant re-balanced portfolio | Estimation risk | Growth-optimal portfolio | Log-optimal portfolio | Mean-variance optimization | Portfolio-Management | Portfolio selection | Schätztheorie | Estimation theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Notes: | Impact-Factor: 1.343 (Stand 2020) SJR Faktor ist 0.524 / Q2 Journal (Stand 2020) H-Index: 48 (Stand 2021) |
| Other identifiers: | 10.1007/s00186-020-00701-1 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012301635