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On optimal portfolio diversification with respect to

✍ Scribed by Georg Mainik; Ludger Rüschendorf


Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
761 KB
Volume
14
Category
Article
ISSN
0949-2984

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Optimal equivariant estimator with respe
✍ S.Kalpana Bai; T.M. Durairajan 📂 Article 📅 1997 🏛 Elsevier Science 🌐 English ⚖ 470 KB

Consider a family of probability distributions which is invariant under a group of transformations. In this paper, we define an optimality criterion with respect to an arbitrary convex loss function and we prove a characterization theorem for an equivariant estimator to be optimal. We illustrate thi