Divergent estimation error in portfolio optimization and in linear regression

Imre Kondor () and I. Varga-Haszonits ()

The European Physical Journal B: Condensed Matter and Complex Systems, 2008, vol. 64, issue 3, 601-605

Keywords: 02.50.Tt Inference methods, 05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion, 89.65.Gh Economics; econophysics, financial markets, business and management, (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (2)

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Working Paper: Divergent estimation error in portfolio optimization and in linear regression (2007)
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DOI: 10.1140/epjb/e2008-00060-x

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