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Testing out-of-sample portfolio performance

  • Published:2019-04 Issue:2 Volume:35 Page:540-554
  • ISSN:0169-2070
  • Container-title:International Journal of Forecasting
  • language:en
  • Short-container-title:International Journal of Forecasting

Author:

Kazak Ekaterina,Pohlmeier Winfried

Funder

German Research Foundation (DFG)

Ministry of Science, Research and the Arts, Baden-Württemberg

Universities of the State of Baden-Württemberg

Publisher

Elsevier BV

Subject

Business and International Management

Reference18 articles.

1. Portfolio selection with estimation risk: a test-based approach;Antoine;Journal of Financial Econometrics,2012

2. The sampling error in estimates of mean-variance efficient portfolio weights;Britten-Jones;The Journal of Finance,1999

3. Sparse and stable markowitz Portfolios;Brodie;Proceedings of the National Academy of Sciences,2009

4. Estimation risk in covariance;Cho;Journal of Asset Management,2011

5. A generalized approach to portfolio optimization: improving performance by constraining portfolio norms;DeMiguel;Management Science,2009

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