Comparison of different estimation techniques for portfolio selection

Yarema Okhrin () and Wolfgang Schmid ()

AStA Advances in Statistical Analysis, 2007, vol. 91, issue 2, 109-127

Keywords: Portfolio analysis; Mean-variance analysis; Estimation of portfolio weights; Shrinkage estimation (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s10182-007-0026-1

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