Turnover, out-of-sample portfolio variance and Sharpe ratio for optimal mean-variance portfolios (Mean-var) and minimum-variance portfolios (Min-var), corresponding to different estimators of mean and covariance, in the case “short selling allowed”.
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https://figshare.com/articles/dataset/_Turnover_out_of_sample_portfolio_variance_and_Sharpe_ratio_for_optimal_mean_variance_portfolios_Mean_var_and_minimum_variance_portfolios_Min_var_corresponding_to_different_estimators_of_mean_and_covariance_in_the_case_8220_short_selling_allowed_8221_/1577273
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Turnover, out-of-sample portfolio variance and Sharpe ratio for optimal mean-variance portfolios (Mean-var) and minimum-variance portfolios (Min-var), corresponding to different estimators of mean and covariance, in the case “short selling allowed”.
创建时间：
2015-12-03
