Application of semi-deviation as a proxy for the expected return estimation in the Croatian equity market
In the field of portfolio management the focus has been on the out-of-sample estimation of the covariance matrix mainly because the estimation of expected return is much more challenging. However, recent research efforts have not only tried to improve the estimation of risk parameters by expanding t...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Sciendo
2019-05-01
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| Series: | Croatian Review of Economic, Business and Social Statistics |
| Subjects: | |
| Online Access: | https://doi.org/10.2478/crebss-2019-0002 |