Managing portfolio diversity within the mean variance theory

DOI10.1007/S10479-018-2896-XMaRDI QIDQ2288943zbMATH OpenOpenAlexWikidataFDO

Authors 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

mean variance portfolioperformance analysisportfolio diversity

Mathematics Subject Classification ID

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

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Cites work

• A Reality Check for Data Snooping
• An introduction to statistical learning. With applications in R
• scientific article; zbMATH DE number 194680 (Why is no real title available?)

Cited in

(7)

• Is green investment different from grey? Return and volatility spillovers between green and grey energy ETFs
• Diversified minimum-variance portfolios
• Maximizing single attribute diversity in group selection
• On the diversity constraints for portfolio optimization
• Portfolio selection based on the herd behavior index
• On the price of diversity for multiwinner elections under (weakly) separable scoring rules
• Mixed frequency data and portfolio selection: a novel approach integrating DEA with mixed frequency data sources

Describes a project that uses

Uses Software

• ISLR

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