The Markowitz's mean-variance interpretation under the efficient market hypothesis in the context of critical recession periods

DOI10.1016/J.CAM.2023.115227MaRDI QIDQ6133110zbMATH OpenWikidataFDO

Authors Julio César Martínez Sánchez, Arturo Berrones-Santos, J. A. Martínez

Publication date 21 July 2023

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

optimizationvolatilitymean-varianceportfolio selectioninvestmentsreturns

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Mean variance optimization of portfolios
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Cites work

• scientific article; zbMATH DE number 1429857 (Why is no real title available?)
• A new attempt to identify long-term precursors for endogenous financial crises in the market correlation structures
• A numerically stable dual method for solving strictly convex quadratic programs
• Deep learning with long short-term memory networks for financial market predictions
• Diversified models for portfolio selection based on uncertain semivariance
• Portfolio management with heuristic optimization.
• Portfolio optimization of financial commodities with energy futures
• ggplot2. Elegant graphics for data analysis. With contributions by Carson Sievert

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