Improved estimation of optimal portfolio with an application to the US stock market
DOI10.1007/S42519-019-0067-2zbMATH Open1437.62382OpenAlexW2984634706WikidataQ126841240 ScholiaQ126841240MaRDI QIDQ2301211FDOQ2301211
Authors: Philip L. H. Yu, Thomas Mathew, Yuanyuan Zhu 
Publication date: 24 February 2020
Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s42519-019-0067-2
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- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- On the role of norm constraints in portfolio selection
- Robust portfolio optimization with derivative insurance guarantees
- Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
- Large sample covariance matrices and high-dimensional data analysis
- Do investors like to diversify? A study of Markowitz preferences
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
Cited In (5)
- An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
- Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it
- Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
- Estimation of optimal portfolio compositions for Gaussian returns
- Nonparametric predictive inference for two future observations with right-censored data
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