Diversified minimum-variance portfolios (Q2351637)

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Language	Label	Description	Also known as
English	Diversified minimum-variance portfolios	scientific article

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scholarly article

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Diversified minimum-variance portfolios (English)

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Guillaume Coqueret

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Annals of Finance

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publication date

26 June 2015

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zbMATH Keywords

portfolio optimization

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minimum variance

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diversification

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s10436-014-0253-x

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Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Vast Portfolio Selection With Gross-Exposure Constraints

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Equity Portfolio Diversification*

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On the role of norm constraints in portfolio selection

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Estimation for Markowitz Efficient Portfolios

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RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS

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A well-conditioned estimator for large-dimensional covariance matrices

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Nonlinear shrinkage estimation of large-dimensional covariance matrices

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On the diversity constraints for portfolio optimization

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Identifiers

zbMATH Open document ID

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Mathematics Subject Classification ID

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zbMATH DE Number

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10.1007/S10436-014-0253-X

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Sitelinks

Mathematics(1 entry)

mardi Publication:2351637

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