Markowitz portfolio and the blur of history

DOI10.1142/S0219024920500302MaRDI QIDQ5147995zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

factor modelarbitrage pricing theoryMarkowitz portfolioblur of history

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3396952 (Why is no real title available?)
• Enhancement of the applicability of Markowitz's portfolio optimization by utilizing random matrix theory
• Shrinkage estimation of mean-variance portfolio
• Statistical analysis of factor models of high dimension

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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