The benefits of improved covariance estimation
Year of publication: |
June 2016
|
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Authors: | Turtle, Harry J. ; Wang, Kainan |
Published in: |
Journal of empirical finance. - Amsterdam [u.a.] : Elsevier, ISSN 0927-5398, ZDB-ID 1158263-7. - Vol. 37.2016, p. 233-246
|
Subject: | Conditional covariances | Information instruments | Portfolio performance | Mean-variance analysis | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Kapitaleinkommen | Capital income | Varianzanalyse | Analysis of variance | Schätztheorie | Estimation theory | CAPM |
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