Matches in SemOpenAlex for { <https://semopenalex.org/work/W1985729830> ?p ?o ?g. }
Showing items 1 to 100 of
100
with 100 items per page.
- W1985729830 endingPage "206" @default.
- W1985729830 startingPage "189" @default.
- W1985729830 abstract "This paper discusses resampling procedures in the estimation of optimal portfolios when the returns are VAR(p) processes and VGARCH(p,q) processes. Then a consistency between the estimation error of the estimator of the mean-variance optimal portfolio parameter and that of the resampled one is shown. Based on this we construct an estimator of the lower tail of the estimation error. Moreover, we introduce the Estimation Error Efficient Portfolio which considers the estimation error as the portfolio risk. Numerical results show that our approach is applicable to actual portfolio management." @default.
- W1985729830 created "2016-06-24" @default.
- W1985729830 creator A5081810760 @default.
- W1985729830 date "2010-01-01" @default.
- W1985729830 modified "2023-10-16" @default.
- W1985729830 title "Resampling Procedure to Construct Estimation Error Efficient Portfolios for Stationary Returns of Assets" @default.
- W1985729830 cites W1578330309 @default.
- W1985729830 cites W1603098022 @default.
- W1985729830 cites W1976779238 @default.
- W1985729830 cites W1999538266 @default.
- W1985729830 cites W2017407421 @default.
- W1985729830 cites W2019754394 @default.
- W1985729830 cites W2021851746 @default.
- W1985729830 cites W2024749790 @default.
- W1985729830 cites W2033945032 @default.
- W1985729830 cites W2034019416 @default.
- W1985729830 cites W2037065041 @default.
- W1985729830 cites W2038357545 @default.
- W1985729830 cites W2043967969 @default.
- W1985729830 cites W2045868572 @default.
- W1985729830 cites W2090040967 @default.
- W1985729830 cites W2098301339 @default.
- W1985729830 cites W2104053023 @default.
- W1985729830 cites W2117897510 @default.
- W1985729830 cites W2126194361 @default.
- W1985729830 cites W2140971281 @default.
- W1985729830 cites W2143053136 @default.
- W1985729830 cites W279529119 @default.
- W1985729830 doi "https://doi.org/10.14490/jjss.40.189" @default.
- W1985729830 hasPublicationYear "2010" @default.
- W1985729830 type Work @default.
- W1985729830 sameAs 1985729830 @default.
- W1985729830 citedByCount "2" @default.
- W1985729830 countsByYear W19857298302014 @default.
- W1985729830 crossrefType "journal-article" @default.
- W1985729830 hasAuthorship W1985729830A5081810760 @default.
- W1985729830 hasBestOaLocation W19857298301 @default.
- W1985729830 hasConcept C10138342 @default.
- W1985729830 hasConcept C105795698 @default.
- W1985729830 hasConcept C121955636 @default.
- W1985729830 hasConcept C139945424 @default.
- W1985729830 hasConcept C149782125 @default.
- W1985729830 hasConcept C150921843 @default.
- W1985729830 hasConcept C15952604 @default.
- W1985729830 hasConcept C162324750 @default.
- W1985729830 hasConcept C165646398 @default.
- W1985729830 hasConcept C185429906 @default.
- W1985729830 hasConcept C187736073 @default.
- W1985729830 hasConcept C196083921 @default.
- W1985729830 hasConcept C199360897 @default.
- W1985729830 hasConcept C2524010 @default.
- W1985729830 hasConcept C2776436953 @default.
- W1985729830 hasConcept C2780801425 @default.
- W1985729830 hasConcept C2780821815 @default.
- W1985729830 hasConcept C33923547 @default.
- W1985729830 hasConcept C41008148 @default.
- W1985729830 hasConcept C74510933 @default.
- W1985729830 hasConcept C96250715 @default.
- W1985729830 hasConceptScore W1985729830C10138342 @default.
- W1985729830 hasConceptScore W1985729830C105795698 @default.
- W1985729830 hasConceptScore W1985729830C121955636 @default.
- W1985729830 hasConceptScore W1985729830C139945424 @default.
- W1985729830 hasConceptScore W1985729830C149782125 @default.
- W1985729830 hasConceptScore W1985729830C150921843 @default.
- W1985729830 hasConceptScore W1985729830C15952604 @default.
- W1985729830 hasConceptScore W1985729830C162324750 @default.
- W1985729830 hasConceptScore W1985729830C165646398 @default.
- W1985729830 hasConceptScore W1985729830C185429906 @default.
- W1985729830 hasConceptScore W1985729830C187736073 @default.
- W1985729830 hasConceptScore W1985729830C196083921 @default.
- W1985729830 hasConceptScore W1985729830C199360897 @default.
- W1985729830 hasConceptScore W1985729830C2524010 @default.
- W1985729830 hasConceptScore W1985729830C2776436953 @default.
- W1985729830 hasConceptScore W1985729830C2780801425 @default.
- W1985729830 hasConceptScore W1985729830C2780821815 @default.
- W1985729830 hasConceptScore W1985729830C33923547 @default.
- W1985729830 hasConceptScore W1985729830C41008148 @default.
- W1985729830 hasConceptScore W1985729830C74510933 @default.
- W1985729830 hasConceptScore W1985729830C96250715 @default.
- W1985729830 hasIssue "2" @default.
- W1985729830 hasLocation W19857298301 @default.
- W1985729830 hasOpenAccess W1985729830 @default.
- W1985729830 hasPrimaryLocation W19857298301 @default.
- W1985729830 hasRelatedWork W1967656023 @default.
- W1985729830 hasRelatedWork W1981942953 @default.
- W1985729830 hasRelatedWork W2065670139 @default.
- W1985729830 hasRelatedWork W2781092925 @default.
- W1985729830 hasRelatedWork W3124567442 @default.
- W1985729830 hasRelatedWork W3193831559 @default.
- W1985729830 hasRelatedWork W4249641952 @default.
- W1985729830 hasRelatedWork W4289539811 @default.
- W1985729830 hasRelatedWork W4291885668 @default.
- W1985729830 hasRelatedWork W4320152990 @default.
- W1985729830 hasVolume "40" @default.
- W1985729830 isParatext "false" @default.
- W1985729830 isRetracted "false" @default.
- W1985729830 magId "1985729830" @default.
- W1985729830 workType "article" @default.