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Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion
Memmel, Christoph - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002477202
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Asset Allocation und Prognoseunsicherheit : Die Berücksichtigung von Schätzfehlern in der strategischen und taktischen Asset Allocation
Herold, Ulf - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001916089
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A comparison between goal programming and regression analysis for portfolio selection
Tamiz, Mehrdad - In: Multiple criteria decision making : proceedings of the …, (pp. 421-432). 1997
Persistent link: https://www.econbiz.de/10001320327
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Parameter estimation risk in portfolio optimisation - an application to Smart Beta investment strategies
Himbert, Benedikt W. - 2018
Persistent link: https://www.econbiz.de/10012018992
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Konsum und Kapitalmarkt : die intertemporale Konsum-Entscheidung der Haushalte und die Preisbestimmung auf dem Kapitalmarkt
Bossard, Andreas - 1988
Persistent link: https://www.econbiz.de/10013386137
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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms
DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812
Persistent link: https://www.econbiz.de/10003859991
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Sampling error and double shrinkage estimation of minimum variance portfolio
Candelon, Bertrand; Hurlin, Christophe; Tokpavi, S. - In: Journal of empirical finance 19 (2012) 4, pp. 511-527
Persistent link: https://www.econbiz.de/10009615665
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Resampled efficiency and portfolio choice
Scherer, Bernd - In: Financial markets and portfolio management 18 (2004) 4, pp. 382-398
Persistent link: https://www.econbiz.de/10002581873
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Estimation Error and Portfolio Optimization : A Resampling Solution
Michaud, Richard O. - 2015
Markowitz (1959) mean-variance (MV) portfolio optimization has been the practical standard for asset allocation and equity portfolio management for almost fifty years. However, it is known to be overly sensitive to estimation error in risk-return estimates and have poor out-of-sample performance...
Persistent link: https://www.econbiz.de/10013015740
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Real Risk or Paper Risk? Mis-Measured Factors, Granular Measurement Errors, and Empirical Asset Pricing Tests
Byun, Sung Je - 2020
risk for the market portfolio is consistent with theory. The granular residual is volatile and less informative about real …
Persistent link: https://www.econbiz.de/10012849714