Mean–variance efficient portfolios with many assets: 50% short

DOI10.1080/14697688.2010.514282zbMath1258.91201OpenAlexW1984346516MaRDI QIDQ4911223

Moshe Levy, Ya'acov Ritov

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2010.514282

zbMATH Keywords

portfolio optimizationmean-variance analysisportfolio analysisstochastic matrix analysis

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Related Items

The large-sample distribution of the maximum Sharpe ratio with and without short sales ⋮ The benefits of differential variance-based constraints in portfolio optimization

Cites Work

• A characterization of the distributions that imply mean-variance utility functions
• Necessary conditions for the CAPM
• Conditions for a CAPM equilibrium with positive prices
• Comparison of Alternative Utility Functions in Portfolio Selection Problems
• Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
• RANDOM MATRIX THEORY AND FINANCIAL CORRELATIONS
• Collective behavior of stock price movements - a random matrix theory approach