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pro vyhledávání: '"O'SULLIVAN, PATRICK"'
We investigate whether sophisticated volatility estimation improves the out-of-sample performance of mean-variance portfolio strategies relative to the naive 1/N strategy. The portfolio strategies rely solely upon second moments. Using a diverse grou
Externí odkaz:
http://arxiv.org/abs/2005.03204
Publikováno v:
Quantitative Finance. Nov2023, Vol. 23 Issue 11, p1545-1560. 16p.
Publikováno v:
In Ecological Economics May 2021 183
Publikováno v:
Sustainability Accounting, Management and Policy Journal, 2020, Vol. 11, Issue 2, pp. 429-450.
Externí odkaz:
http://www.emeraldinsight.com/doi/10.1108/SAMPJ-12-2018-0362
Autor:
Perko, Tanja, Monken-Fernandes, Horst, Martell, Meritxell, Zeleznik, Nadja, O'Sullivan, Patrick
Publikováno v:
In Journal of Environmental Radioactivity January 2019 196:171-180