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Vast Portfolio Selection with Gross-exposure Constraints()
We introduce the large portfolio selection using gross-exposure constraints. We show that with gross-exposure constraint the empirically selected optimal portfolios based on estimated covariance matrices have similar performance to the theoretical optimal ones and there is no error accumulation effe...
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| Hlavní autoři: | , , |
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| Médium: | Artigo |
| Jazyk: | Inglês |
| Vydáno: |
2012
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| Témata: | |
| On-line přístup: | https://ncbi.nlm.nih.gov/pmc/articles/PMC3535429/ https://ncbi.nlm.nih.gov/pubmed/23293404 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1080/01621459.2012.682825 |
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