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~accessRights:"restricted"
~person:"Kan, Raymond"
~person:"Parolya, Nestor"
~person:"Yao, Haixiang"
~subject:"Estimation theory"
~type_genre:"Article in journal"
~type_genre:"Conference paper"
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Search: subject:"Portfolio-Management"
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Kan, Raymond
Parolya, Nestor
Yao, Haixiang
Auer, Benjamin R.
4
Bodnar, Taras
4
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ECONIS (ZBW)
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1
Is the empirical out-of-sample variance an informative risk measure for the high-dimensional portfolios?
Bodnar, Taras
;
Parolya, Nestor
;
Thorsén, Erik
- In:
Finance research letters
54
(
2023
),
pp. 1-11
Persistent link: https://www.econbiz.de/10014472777
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2
Optimal portfolio choice with estimation risk : no risk-free asset case
Kan, Raymond
;
Wang, Xiaolu
;
Zhuo, Guofu
- In:
Management science : journal of the Institute for …
68
(
2022
)
3
,
pp. 2047-2068
Persistent link: https://www.econbiz.de/10013262911
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3
Nonparametric mean-lower partial moment model and enhanced index investment
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Computers & operations research : and their …
144
(
2022
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013264891
Saved in:
4
A general approach to smooth and convex portfolio optimization using lower partial moments
Yao, Haixiang
;
Huang, Jinbo
;
Li, Yong
;
Humphrey, …
- In:
Journal of banking & finance
129
(
2021
),
pp. 1-16
Persistent link: https://www.econbiz.de/10012822108
Saved in:
5
Too good to be true? Fallacies in evaluating risk factor models
Gospodinov, Nikolaj
;
Kan, Raymond
;
Robotti, Cesare
- In:
Journal of financial economics
132
(
2019
)
2
,
pp. 451-471
Persistent link: https://www.econbiz.de/10012136929
Saved in:
6
Estimation of the global minimum variance portfolio in high dimensions
Bodnar, Taras
;
Parolya, Nestor
;
Schmid, Wolfgang
- In:
European journal of operational research : EJOR
266
(
2018
)
1
,
pp. 371-390
Persistent link: https://www.econbiz.de/10011811777
Saved in:
7
Index tracking model, downside risk and non-parametric kernel estimation
Huang, Jinbo
;
Li, Yong
;
Yao, Haixiang
- In:
Journal of economic dynamics & control
92
(
2018
),
pp. 103-128
Persistent link: https://www.econbiz.de/10011974395
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