The Construction of Efficient Portfolios: A Verification of Risk Models for Investment Making
Various statistical models have been used in estimating inputs to mean-variance efficient portfolio construction since the mid-1960s. One can argue how many factors are necessary, but there appears to be substantial evidence that statistical models outperform fundamental models for several expected...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Frontiers Media S.A.
2020-10-01
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| Series: | Frontiers in Applied Mathematics and Statistics |
| Subjects: | |
| Online Access: | https://www.frontiersin.org/articles/10.3389/fams.2020.456346/full |