Portfolio Optimization Efficiency Test Considering Data Snooping Bias
Kresta Aleš () and
Wang Anlan ()
Additional contact information
Kresta Aleš: VSB – Technical University of Ostrava, Faculty of Economics, Czech Republic
Wang Anlan: VSB – Technical University of Ostrava, Faculty of Economics, Czech Republic
Business Systems Research, 2020, vol. 11, issue 2, 73-85
Background: In the portfolio optimization area, most of the research is focused on insample portfolio optimization. One may ask a rational question of what the efficiency of the portfolio optimization strategy is and how to measure it.
Keywords: data snooping bias; financial crisis; hypothesis test; minimum-risk portfolio; portfolio optimization (search for similar items in EconPapers)
JEL-codes: G11 G17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:bit:bsrysr:v:11:y:2020:i:2:p:73-85:n:6
Access Statistics for this article
Business Systems Research is currently edited by Mirjana Pejić Bach
More articles in Business Systems Research from Sciendo
Bibliographic data for series maintained by Peter Golla ().