Managing portfolio diversity within the mean variance theory

DOI10.1007/s10479-018-2896-xzbMath1434.62239OpenAlexW2539466824WikidataQ129753144 ScholiaQ129753144MaRDI QIDQ2288943

Anatoly B. Schmidt

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-018-2896-x

zbMATH Keywords

performance analysismean variance portfolioportfolio diversity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30)

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Uses Software

• ISLR

Cites Work

• Unnamed Item
• A Reality Check for Data Snooping
• An Introduction to Statistical Learning

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