Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
Year of publication: |
2022
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Authors: | Mynbayeva, Elmira ; Lamb, John D. ; Zhao, Yuan |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 301.2022, 2 (1.9.), p. 694-707
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Subject: | Bootstrap aggregation | Estimation risk | Homogeneous subsets | Multivariate statistics | Portfolio optimisation | Portfolio-Management | Portfolio selection | Bootstrap-Verfahren | Bootstrap approach | Schätztheorie | Estimation theory |
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