Multiple tests for the performance of different investment strategies
Publication date
2011-10-08
Document type
Forschungsartikel
Author
Organisational unit
University of Cologne
Scopus ID
Publisher
Springer
Series or journal
AStA Advances in Statistical Analysis
ISSN
Periodical volume
96
Periodical issue
3
First page
343
Last page
383
Part of the university bibliography
✅
Language
English
Keyword
Asset allocation
Certainty equivalent
Multiple hypothesis tests
Naive diversification
Out-of-sample performance
Portfolio optimization
Sharpe ratio
Version
Published version
Access right on openHSU
Metadata only access