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Found 113 Documents (Results 1–100)

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Bayesian portfolio mean-variance efficiency test with Sharpe ratio’s sampling error. (English) Zbl 1451.91177

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 3241-3261 (2021).
MSC:  91G10 62P05 62F15
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Some improved estimators of maximum squared Sharpe ratio. (English) Zbl 1454.91218

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 3. Hackensack, NJ: World Scientific. 2525-2545 (2021).
MSC:  91G10 62P05 62F15
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Hedge ratio and time series analysis. (English) Zbl 1454.91280

Lee, Cheng Few (ed.) et al., Handbook of financial econometrics, mathematics, statistics, and machine learning. Volume 1. Hackensack, NJ: World Scientific. 431-483 (2021).
MSC:  91G20 62P05 62M10
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Optimal selection of assets and portfolios. (English) Zbl 1414.62419

Kilgour, D. Marc (ed.) et al., Recent advances in mathematical and statistical methods. IV AMMCS international conference, Waterloo, Canada, August 20–25, 2017. Cham: Springer. Springer Proc. Math. Stat. 259, 509-519 (2018).
MSC:  62P05 62M10 91B30
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Risk parity portfolios for the grouped stocks. (English) Zbl 1426.91247

Jajuga, Krzysztof (ed.) et al., Contemporary trends and challenges in finance. Proceedings from the 2nd Wroclaw international conference in finance, Wroclaw, Poland, September 27–28, 2016. Cham: Springer. Springer Proc. Bus. Econ., 81-89 (2017).
MSC:  91G10
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Portfolio allocation using omega function: an empirical analysis. (English) Zbl 1418.91477

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 179-193 (2014).
MSC:  91G10 62P05
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Time series clustering on lower tail dependence for portfolio selection. (English) Zbl 1418.91463

Corazza, Marco (ed.) et al., Mathematical and statistical methods for actuarial sciences and finance. Selected papers based on the presentations at the international conference MAF 2012, Venice, Italy, April 10–12, 2012. Cham: Springer. 131-140 (2014).
MSC:  91G10 62P05 62M10
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