Mean-variance portfolio optimization when means and covariances are unknown
From MaRDI portal
Publication:641134
DOI10.1214/10-AOAS422zbMath1454.62303arXiv1108.0996MaRDI QIDQ641134
Tze Leung Lai, Haipeng Xing, Zehao Chen
Publication date: 21 October 2011
Published in: The Annals of Applied Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1108.0996
62P05: Applications of statistics to actuarial sciences and financial mathematics
91G10: Portfolio theory
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Cites Work
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- Regularized estimation of large covariance matrices
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