Estimation for Markowitz Efficient Portfolios
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(75)- Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market
- Computing efficient frontiers using estimated parameters
- Empirical properties of a heterogeneous agent model in large dimensions
- Stock market prediction and portfolio selection models: a survey
- A nonlinear interval portfolio selection model and its application in banks
- A unified model for regularized and robust portfolio optimization
- Quantitative portfolio selection: using density forecasting to find consistent portfolios
- Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
- Portfolio selection: shrinking the time-varying inverse conditional covariance matrix
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem
- Copula-based Black-Litterman portfolio optimization
- Recent advances in shrinkage-based high-dimensional inference
- Inference on estimators defined by mathematical programming
- Asset selection based on high frequency Sharpe ratio
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation
- On the market price of risk
- Asset allocation: new evidence through network approaches
- Clustering and portfolio selection problems: a unified framework
- Large-scale portfolio allocation under transaction costs and model uncertainty
- Diversified minimum-variance portfolios
- Constructing optimal sparse portfolios using regularization methods
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data
- Portfolio selection with probabilistic utility
- Theoretical and empirical estimates of mean-variance portfolio sensitivity
- Robust multiobjective optimization \& applications in portfolio optimization
- An optimal combination of risk-return and naive hedging
- A comparison of mean-variance efficiency tests
- The large-sample distribution of the maximum Sharpe ratio with and without short sales
- Distributional properties of portfolio weights
- Diversified portfolios with different entropy measures
- Markowitz's mean-variance asset-liability management with regime switching: a multi-period model
- Predictable returns and asset allocation: should a skeptical investor time the market?
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- Portfolio optimization with disutility-based risk measure
- Weighted elastic net penalized mean-variance portfolio design and computation
- Portfolio selection with higher moments
- No-transaction bounds and estimation risk
- Exact properties of measures of optimal investment for benchmarked portfolios
- Portfolio Selection with Common Correlation Mixture Models
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data
- The shape of small sample biases in pricing kernel estimations
- High dimensional mean-variance optimization through factor analysis
- A theoretical foundation of portfolio resampling
- Asset allocation with hedge funds on the menu
- A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection
- A new procedure for resampled portfolio with shrinkaged covariance matrix
- The effects of errors in means, variances, and correlations on the mean-variance framework
- AN IMPROVED TEST OF THE SQUARED SHARPE RATIO
- The dispersion bias
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- A generalized pivotal quantity approach to portfolio selection
- Noise fit, estimation error and a Sharpe information criterion
- On the product of a singular Wishart matrix and a singular Gaussian vector in high dimension
- Sample efficient frontier in multivariate conditionally heteroscedastic elliptical models
- Mean-variance portfolio management with functional optimization
- Statistical inference procedure for the mean-variance efficient frontier with estimated parameters
- A bi‐level programming framework for identifying optimal parameters in portfolio selection
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation
- Comparison of different estimation techniques for portfolio selection
- Mean-variance portfolio optimization when means and covariances are unknown
- Target selection in shrinkage estimation of covariance matrix: a structural similarity approach
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests
- Incorporating Different Sources of Information for Bayesian Optimal Portfolio Selection
- Portfolio optimisation via strategy-specific eigenvector shrinkage
- Geometric insights into robust portfolio construction
- Beyond GMV: the relevance of covariance matrix estimation for risk-based portfolio construction
- Portfolio selection revisited
- A test on the location of tangency portfolio for small sample size and singular covariance matrix
- Asset allocation with portfolio immunization strategies based on community detection
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio
- Testing for common latent factors across two short panels
- A test for the weights of the global minimum variance portfolio in an elliptical model
- Der Wert von Renditeprognosen für Anlageentscheidungen
- Statistical inference of the efficient frontier for dependent asset returns
- Robust portfolios: contributions from operations research and finance
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