Improved estimation of optimal portfolio with an application to the US stock market

DOI10.1007/S42519-019-0067-2MaRDI QIDQ2301211zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

covariance matrixinvestment analysisMarkowitz mean-variance model

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
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• scientific article; zbMATH DE number 6263675

Cites work

• scientific article; zbMATH DE number 3886886 (Why is no real title available?)
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Distributional properties of portfolio weights
• Do investors like to diversify? A study of Markowitz preferences
• Efficient estimation of large portfolio loss probabilities in \(t\)-copula models
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Large sample covariance matrices and high-dimensional data analysis
• On the role of norm constraints in portfolio selection
• Robust portfolio optimization with derivative insurance guarantees
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
• Variance components.

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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