Resampling
2004; Springer International Publishing; Linguagem: Inglês
10.1007/978-1-4419-6876-0_10
ISSN2197-4136
Autores Tópico(s)Simulation Techniques and Applications
ResumoComputer simulation is widely used in all areas of operations research and, in particular, applications of simulation to statistics have become very widespread. In this chapter we apply a simulation technique called the “bootstrap” or “re-sampling” to study the effects of estimation error on portfolio selection. The term “bootstrap” was coined by Bradley Efron and comes from the phrase “pulling oneself up by one’s bootstraps” that apparently originated in the eighteenth century story “Adventures of Baron Munchausen” by Rudolph Erich Raspe.1 In this chapter, “bootstrap” and “resampling” are treated as synonymous.
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