Optimal Linear Combinations of Portfolios Subject to Estimation Risk
The combination of two or more portfolio rules is theoretically convex in return-risk space, which provides for a new class of portfolio rules that gives purpose to the Mean-Variance framework out-of-sample. The author investigates the performance loss from estimation risk between the unconstrained...
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| Format: | Others |
| Language: | English |
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Mälardalens högskola, Akademin för utbildning, kultur och kommunikation
2015
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:mdh:diva-28524 |