Stochastic regularization for the mean-variance allocation scheme

DOI10.1080/14697688.2018.1564836zbMath1420.91440OpenAlexW2911910804MaRDI QIDQ5234343

Gilles Zumbach

Publication date: 26 September 2019

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

Full work available at URL: https://doi.org/10.1080/14697688.2018.1564836

zbMATH Keywords

portfolio optimizationcovarianceportfolio allocationtactical asset allocationMarkowitz theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• Sparse and stable Markowitz portfolios
• Modelling the persistence of conditional variances
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Volatility processes and volatility forecast with long memory

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