When do Improved Covariance Matrix Estimators Enhance Portfolio Optimization? An Empirical Comparative Study of Nine Estimators
Year of publication: |
2010
|
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Authors: | Pantaleo, Ester |
Other Persons: | Tumminello, Michele (contributor) ; Lillo, Fabrizio (contributor) ; Mantegna, Rosario N. (contributor) |
Publisher: |
[2010]: [S.l.] : SSRN |
Subject: | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Korrelation | Correlation | Momentenmethode | Method of moments |
Extent: | 1 Online-Ressource (30 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 23, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1596865 [DOI] |
Classification: | G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
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