Theoretical and empirical estimates of mean-variance portfolio sensitivity

DOI10.1016/j.ejor.2013.04.018zbMath1304.91206WikidataQ57949112 ScholiaQ57949112MaRDI QIDQ2514711

Jan Palczewski, Andrzej Palczewski

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.018

zbMATH Keywords

bootstrap; investment analysis; estimation error; asset allocation; mean-variance portfolio

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G70: Statistical methods; risk measures

91G10: Portfolio theory

Related Items

The effects of errors in means, variances, and correlations on the mean-variance framework, Understanding dynamic mean variance asset allocation, Black-Litterman model for continuous distributions, Naive versus optimal diversification: tail risk and performance, Asset allocation with correlation: a composite trade-off, Quantitative portfolio selection: using density forecasting to find consistent portfolios, Stochastic portfolio selection problem with reliability criteria, A novel multi period mean-VaR portfolio optimization model considering practical constraints and transaction cost

Uses Software

• QRM

Cites Work

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