Mean--variance efficient portfolios with many assets: 50\% short

DOI10.1080/14697688.2010.514282MaRDI QIDQ4911223zbMATH OpenOpenAlexFDO

Authors Moshe Levy, Yaacov 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

mean-variance analysisportfolio analysisportfolio optimizationstochastic matrix analysis

Mathematics Subject Classification ID

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

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Cites work

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

Cited in

(9)

• Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
• The benefits of differential variance-based constraints in portfolio optimization
• The large-sample distribution of the maximum Sharpe ratio with and without short sales
• A mean-variance analysis of self-financing portfolios
• Impossible frontiers
• Analytic solution to variance optimization with no short positions
• Markowitz portfolio and the blur of history
• A new spin on optimal portfolios and ecological equilibria
• Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions

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