Bootstrap estimation of the efficient frontier
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DOI: 10.1007/s10287-016-0257-2
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Cited by:
- Taras Bodnar & Yarema Okhrin & Valdemar Vitlinskyy & Taras Zabolotskyy, 2018. "Determination and estimation of risk aversion coefficients," Computational Management Science, Springer, vol. 15(2), pages 297-317, June.
- Taras Bodnar & Mathias Lindholm & Erik Thorsén & Joanna Tyrcha, 2021. "Quantile-based optimal portfolio selection," Computational Management Science, Springer, vol. 18(3), pages 299-324, July.
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Keywords
Asset allocation; Efficient frontier; Portfolio analysis; Mean-variance portfolios; Resampling methods; Sharpe ratio optimal portfolio; Interval estimation;All these keywords.
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