Asymptotic and Bayesian Confidence Intervals for Sharpe Style Weights
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- Tae-Hwan Kim, 2005. "Asymptotic and Bayesian Confidence Intervals for Sharpe-Style Weights," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 3(3), pages 315-343.
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More about this item
KeywordsSharpe style regression; non-negativity; linear-quadratic optimization; prior density; bayesian highest posterior density interval;
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