Positive weights on the efficient frontier

DOI10.1080/10920277.2014.922032MaRDI QIDQ5379129zbMATH OpenOpenAlexFDO

Authors Phelim Boyle

Publication date 28 May 2019

Published in North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10920277.2014.922032

zbMATH Keywords

capital asset pricing modelmarket portfolio weights

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• Impossible frontiers
• On Perron-Frobenius property of matrices having some negative entries
• Perron-Frobenius theorem for matrices with some negative entries
• Statistical arbitrage in the US equities market
• The distribution of the sample minimum-variance frontier

Cited in

(7)

• Signal-to-noise matrix and model reduction in continuous-time hidden Markov models
• Statistical arbitrage for multiple co-integrated stocks
• Permutation-weighted portfolios and the efficiency of commodity futures markets
• Impossible frontiers
• Short Positions in the First Principal Component Portfolio
• Correlation matrices with the Perron Frobenius property
• Principal eigenportfolios for U.S. equities

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