A generalized pivotal quantity approach to portfolio selection

Keyphrases

• Portfolio Optimization 100%
• Portfolio Weights 100%
• Generalized pivotal Quantity 100%
• Shrinkage Methods 50%
• Resampling Methods 50%
• Copyright 25%
• Markowitz 25%
• Estimation Method 25%
• Asset Returns 25%
• Proposed Methodology 25%
• Weight-based 25%
• Parameter Uncertainty 25%
• Coverage Rate 25%
• Mean-variance Model 25%
• Interval Estimation 25%
• Mean Squared Error 25%
• Rebalancing Problem 25%
• Portfolio Rebalancing 25%
• Simultaneous Confidence Intervals 25%
• Point Estimate 25%
• Point Estimation 25%

Mathematics

• Pivotal Quantity 100%
• Estimation Method 33%
• Resampling Method 33%
• Squared Error 33%
• Simultaneous Confidence Interval 33%
• Point Estimate 33%
• Interval Estimation 33%

Economics, Econometrics and Finance

• Portfolio Selection 100%
• Capital Market Returns 50%
• Estimation Theory 50%