Markowitz portfolio and the blur of history

DOI10.1142/S0219024920500302zbMATH Open1457.91350OpenAlexW3029382984MaRDI QIDQ5147995FDOQ5147995

Authors: Chi Tim Ng, Yue Shi, Ngai Hang Chan 

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500302

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zbMATH Keywords

factor modelarbitrage pricing theoryMarkowitz portfolioblur of history

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Statistical analysis of factor models of high dimension
• Title not available (Why is that?)
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Shrinkage estimation of mean-variance portfolio

Cited In (3)

• Markowitz revisited: social portfolio engineering
• Mean-variance portfolio management with functional optimization
• Factor representing portfolios in large asset markets

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