Theoretical and empirical estimates of mean-variance portfolio sensitivity.
Andrzej PalczewskiJan PalczewskiPublished in: Eur. J. Oper. Res. (2014)
Keyphrases
- portfolio selection
- theoretical analysis
- portfolio optimization
- confidence intervals
- efficient frontier
- confidence bounds
- sensitivity analysis
- machine learning
- information theoretic
- theoretical considerations
- joint estimation
- portfolio management
- artificial intelligence
- decision making
- short term
- non stationary
- theoretical basis
- decision makers
- theoretical models
- feature selection
- investment strategies
- databases
- data sets
- real time