THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS

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Mathematical Finance_23_3_2013.pdf (865.13 KB)

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Author(s)

Gandy, A

Veraart, L

Type

Journal Article

Date Issued

2012-02-03

Citation

Mathematical Finance, 2012

URI

http://hdl.handle.net/10044/1/18653

DOI

https://www.dx.doi.org/10.1111/j.1467-9965.2011.00505.x

ISSN

0960-1627

Publisher

WILEY-BLACKWELL

Start Page

531

End Page

559

Journal / Book Title

Mathematical Finance

Volume

23

Issue

3

Copyright Statement

© 2012 Wiley Periodicals, Inc. This is the peer reviewed version of the following article: Gandy, A. and Veraart, . L. A. M. (2013), THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS. Mathematical Finance, 23: 531–559, which has been published in final form at http://dx.doi.org/10.1111/j.1467-9965.2011.00505.x.  This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.

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http://www.rioxx.net/licenses/all-rights-reserved

Identifier

http://gateway.webofknowledge.com/gateway/Gateway.cgi?GWVersion=2&SrcApp=PARTNER_APP&SrcAuth=LinksAMR&KeyUT=000320139200005&DestLinkType=FullRecord&DestApp=ALL_WOS&UsrCustomerID=1ba7043ffcc86c417c072aa74d649202

Publication Status

Published