Portfolio Choice and Estimation Risk: A Comparison of Bayesian to Heuristic Approaches
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- repec:spr:compst:v:70:y:2009:i:2:p:337-356 is not listed on IDEAS
- Georg Mainik & Georgi Mitov & Ludger Ruschendorf, 2015. "Portfolio optimization for heavy-tailed assets: Extreme Risk Index vs. Markowitz," Papers 1505.04045, arXiv.org.
- Alexander Bade & Gabriel Frahm & Uwe Jaekel, 2009. "A general approach to Bayesian portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 70(2), pages 337-356, October.
- Gabriel Frahm, 2015. "A theoretical foundation of portfolio resampling," Theory and Decision, Springer, vol. 79(1), pages 107-132, July.
- Allen, D. & Lizieri, C. & Satchell, S., 2012. "Mean-Variance versus 1/N: What if we can forecast? (Updated 22nd December 2013)," Cambridge Working Papers in Economics 1244, Faculty of Economics, University of Cambridge.
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NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-18 (All new papers)
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