Horses for courses: mean-variance for asset allocation and 1/N for stock selection

DOI10.1016/J.EJOR.2020.05.043MaRDI QIDQ2028868zbMATH OpenOpenAlexFDO

Authors Emmanouil Platanakis, Charles Sutcliffe, Xiaoxia Ye

Publication date 3 June 2021

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2020.05.043

zbMATH Keywords

asset allocationinvestment analysismean-variancenaive diversificationportfolio theorystock selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A more human-like portfolio optimization approach
• Asset allocation with correlation: a composite trade-off
• Downside Loss Aversion and Portfolio Management
• Estimation for Markowitz Efficient Portfolios
• Estimation with quadratic loss.
• Naive versus optimal diversification: tail risk and performance
• Portfolio management with cryptocurrencies: the role of estimation risk
• The benefits of differential variance-based constraints in portfolio optimization
• The dynamic Black-Litterman approach to asset allocation
• The Efficiency Analysis of Choices Involving Risk

Cited in

(7)

• A mental account-based portfolio selection model with an application for data with smaller dimensions
• The effects of errors in means, variances, and correlations on the mean-variance framework
• Modelling and filtering for dynamic investment in the precious-metals market
• Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric
• Asset allocation with factor-based covariance matrices
• Integration of prediction and optimization for smart stock portfolio selection
• Expanding the risk horizon: an integrated framework for managing uncertainty and risk in portfolio selection

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