Mean-variance portfolio optimization when means and covariances are unknown
From MaRDI portal
Publication:641134
DOI10.1214/10-AOAS422zbMath1454.62303arXiv1108.0996MaRDI QIDQ641134
Tze Leung Lai, Haipeng Xing, Zehao Chen
Publication date: 21 October 2011
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.0996
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory
Related Items
The effectiveness of incorporating higher moments in portfolio strategies: evidence from the Chinese commodity futures markets, The Dispersion Bias, Sparse Covariance Matrix Estimation by DCA-Based Algorithms, MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION, Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models, Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency, Bayesian Joint Chance Constrained Optimization: Approximations and Statistical Consistency, Robust inference of risks of large portfolios, Risks of large portfolios, Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints, Solving norm constrained portfolio optimization via coordinate-wise descent algorithms, Using principal component analysis to estimate a high dimensional factor model with high-frequency data, Cardinality-constrained portfolio optimization with short selling and risk-neutral interest rate, Utility basis of consumption and investment decisions in a risk environment, Asset selection based on high frequency Sharpe ratio, Climate change investment risk: optimal portfolio construction ahead of the transition to a lower-carbon economy, Portfolio selection based on Bayesian theory, The large-sample distribution of the maximum Sharpe ratio with and without short sales
Cites Work
- Unnamed Item
- Unnamed Item
- High dimensional covariance matrix estimation using a factor model
- Computing efficient frontiers using estimated parameters
- Regularized estimation of large covariance matrices
- Estimation for Markowitz Efficient Portfolios
- Covariance matrix selection and estimation via penalised normal likelihood
- Risk and asset allocation.