An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment (Q1926915): Difference between revisions

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English	An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment	scientific article

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scholarly article

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title

An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment (English)

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zbMATH Open document ID

1253.91168

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DOI

10.1016/j.ejor.2012.04.003

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European Journal of Operational Research

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publication date

29 December 2012

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Mathematics Subject Classification ID

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Markowitz mean

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variance optimization

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estimation of optimal portfolio weights

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inverted Wishart distribution

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consistency

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.ejor.2012.04.003

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OpenAlex ID

W3122224556

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cites work

ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

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Asymptotic properties of eigenmatrices of a large sample covariance matrix

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The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test

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Efficient estimation of large portfolio loss probabilities in \(t\)-copula models

0 references

Prospect Theory, Indifference Curves, and Hedging Risks

0 references

Making inefficient market indices efficient

0 references

Gains from diversification on convex combinations: a majorization and stochastic dominance approach

0 references

Do investors like to diversify? A study of Markowitz preferences

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Dynamic mean-variance portfolio selection with borrowing constraint

0 references

The bootstrap and Edgeworth expansion

0 references

Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions

0 references

Fiscal policy and asset markets: a semiparametric analysis

0 references

BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH

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A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction

0 references

A well-conditioned estimator for large-dimensional covariance matrices

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Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR

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Q3219581

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Large-Scale Portfolio Optimization

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Bayesian portfolio selection with multi-variate random variance models

0 references

Efficient estimation of covariance selection models

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Stochastic dominance and mean-variance measures of profit and loss for business planning and investment

0 references

Prospect and Markowitz stochastic dominance

0 references

Preferences over location-scale family

0 references

Dynamic portfolio optimization with risk control for absolute deviation model

0 references

Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control

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Robust portfolio optimization with derivative insurance guarantees

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1926915

@@ Property / author @@
+Hon Yip Ng
@@ Property / author: Hon Yip Ng / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2012.04.003
+Normal rank
@@ Property / OpenAlex ID @@
+W3122224556
@@ Property / OpenAlex ID: W3122224556 / rank @@
+Normal rank
@@ Property / cites work @@
+ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY
+Normal rank
@@ Property / cites work @@
+Asymptotic properties of eigenmatrices of a large sample covariance matrix
+Normal rank
@@ Property / cites work @@
+The mean-variance ratio test -- a complement to the coefficient of variation test and the Sharpe ratio test
+Normal rank
@@ Property / cites work @@
+Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
+Normal rank
@@ Property / cites work @@
+Prospect Theory, Indifference Curves, and Hedging Risks
+Normal rank
@@ Property / cites work @@
+Making inefficient market indices efficient
@@ Property / cites work: Making inefficient market indices efficient / rank @@
+Normal rank
@@ Property / cites work @@
+Gains from diversification on convex combinations: a majorization and stochastic dominance approach
+Normal rank
@@ Property / cites work @@
+Do investors like to diversify? A study of Markowitz preferences
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+The bootstrap and Edgeworth expansion
@@ Property / cites work: The bootstrap and Edgeworth expansion / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
+Normal rank
@@ Property / cites work @@
+Fiscal policy and asset markets: a semiparametric analysis
+Normal rank
@@ Property / cites work @@
+BOND PORTFOLIO OPTIMIZATION PROBLEMS AND THEIR APPLICATIONS TO INDEX TRACKING : A PARTIAL OPTIMIZATION APPROACH
+Normal rank
@@ Property / cites work @@
+A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
+Normal rank
@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Stochastic dominance and risk measure: a decision-theoretic foundation for VaR and C-VaR
+Normal rank
@@ Property / cites work @@
+Q3219581
@@ Property / cites work: Q3219581 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-Scale Portfolio Optimization
@@ Property / cites work: Large-Scale Portfolio Optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Bayesian portfolio selection with multi-variate random variance models
+Normal rank
@@ Property / cites work @@
+Efficient estimation of covariance selection models
+Normal rank
@@ Property / cites work @@
+Stochastic dominance and mean-variance measures of profit and loss for business planning and investment
+Normal rank
@@ Property / cites work @@
+Prospect and Markowitz stochastic dominance
@@ Property / cites work: Prospect and Markowitz stochastic dominance / rank @@
+Normal rank
@@ Property / cites work @@
+Preferences over location-scale family
@@ Property / cites work: Preferences over location-scale family / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio optimization with risk control for absolute deviation model
+Normal rank
@@ Property / cites work @@
+Calculating risk neutral probabilities and optimal portfolio policies in a dynamic investment model with downside risk control
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization with derivative insurance guarantees
+Normal rank