By formulating the portfolio problem as a statistical estimation problem, you can easily obtain standard errors for

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By formulating the portfolio problem as a statistical estimation problem, you can easily obtain standard errors for the coefficients of the weight function. Brandt et al. (2009) provide the relevant derivations in their paper in Equation (10). Implement a small function that computes standard errors for ˆθ

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Tidy Finance With R

ISBN: 9781032389349

1st Edition

Authors: Christoph Scheuch, Stefan Voigt, Patrick Weiss

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