Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

DOI10.1287/opre.2019.1858zbMath1455.91242MaRDI QIDQ5129173

Kumar Muthuraman, Long Zhao, Deepayan Chakrabarti

Publication date: 26 October 2020

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2019.1858

zbMATH Keywords

portfolio choice; estimation error

Mathematics Subject Classification ID

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

91G10: Portfolio theory