Portfolio Evaluation with the Vector Distance Based on Portfolio Composition
We propose a novel portfolio evaluation method, a distance-based approach, which directly evaluates the portfolio composition rather than portfolio returns. In this approach, we consider a portfolio as an estimator for an in-sample tangency portfolio, which we define as the optimal reference portfol...
Salvato in:
| Autori principali: | , , , , |
|---|---|
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI AG
2023-01-01
|
| Serie: | Mathematics |
| Soggetti: | |
| Accesso online: | https://www.mdpi.com/2227-7390/11/1/221 |
| Tags: |
Nessun Tag, puoi essere il primo ad aggiungerne!!
|