Pages that link to "Item:Q3891587"
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The following pages link to Estimation for Markowitz Efficient Portfolios (Q3891587):
Displaying 50 items.
- Distributional properties of portfolio weights (Q278053) (← links)
- Diversified portfolios with different entropy measures (Q279248) (← links)
- Predictable returns and asset allocation: should a skeptical investor time the market? (Q301975) (← links)
- Portfolio optimization with disutility-based risk measure (Q322717) (← links)
- Asymptotic behavior of the estimated weights and of the estimated performance measures of the minimum VaR and the minimum CVaR optimal portfolios for dependent data (Q378919) (← links)
- High dimensional mean-variance optimization through factor analysis (Q476227) (← links)
- A theoretical foundation of portfolio resampling (Q497474) (← links)
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
- Comparison of different estimation techniques for portfolio selection (Q636161) (← links)
- Mean-variance portfolio optimization when means and covariances are unknown (Q641134) (← links)
- On the existence of unbiased estimators for the portfolio weights obtained by maximizing the Sharpe ratio (Q732229) (← links)
- A test for the weights of the global minimum variance portfolio in an elliptical model (Q745427) (← links)
- Der Wert von Renditeprognosen für Anlageentscheidungen (Q791419) (← links)
- Statistical inference of the efficient frontier for dependent asset returns (Q840988) (← links)
- Robust portfolios: contributions from operations research and finance (Q993719) (← links)
- Correlation structure forecasting \& ex ante portfolio selection strategies in the Japan market (Q1000371) (← links)
- Computing efficient frontiers using estimated parameters (Q1313140) (← links)
- Empirical properties of a heterogeneous agent model in large dimensions (Q1655655) (← links)
- Stock market prediction and portfolio selection models: a survey (Q1788855) (← links)
- A nonlinear interval portfolio selection model and its application in banks (Q1794302) (← links)
- A unified model for regularized and robust portfolio optimization (Q2007869) (← links)
- Quantitative portfolio selection: using density forecasting to find consistent portfolios (Q2028791) (← links)
- Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection (Q2028868) (← links)
- Portfolio selection: shrinking the time-varying inverse conditional covariance matrix (Q2029222) (← links)
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem (Q2030537) (← links)
- Copula-based Black-Litterman portfolio optimization (Q2060420) (← links)
- Recent advances in shrinkage-based high-dimensional inference (Q2062777) (← links)
- Inference on estimators defined by mathematical programming (Q2074590) (← links)
- Asset selection based on high frequency Sharpe ratio (Q2116331) (← links)
- The Black-Litterman model and views from a reverse optimization procedure: an out-of-sample performance evaluation (Q2221479) (← links)
- On the market price of risk (Q2230759) (← links)
- Asset allocation: new evidence through network approaches (Q2241054) (← links)
- Clustering and portfolio selection problems: a unified framework (Q2297578) (← links)
- Large-scale portfolio allocation under transaction costs and model uncertainty (Q2323379) (← links)
- Diversified minimum-variance portfolios (Q2351637) (← links)
- Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
- Sparse Kalman filtering approaches to realized covariance estimation from high frequency financial data (Q2425171) (← links)
- Portfolio selection with probabilistic utility (Q2480226) (← links)
- Theoretical and empirical estimates of mean-variance portfolio sensitivity (Q2514711) (← links)
- Robust multiobjective optimization \& applications in portfolio optimization (Q2514713) (← links)
- An optimal combination of risk-return and naive hedging (Q2517099) (← links)
- A comparison of mean-variance efficiency tests (Q2630146) (← links)
- The large-sample distribution of the maximum Sharpe ratio with and without short sales (Q2630355) (← links)
- Markowitz's Mean-Variance Asset–Liability Management with Regime Switching: A Multi-Period Model (Q3004474) (← links)
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests (Q3143705) (← links)
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) (← links)
- Portfolio selection with higher moments (Q3568905) (← links)
- No-transaction bounds and estimation risk (Q3568906) (← links)
- Exact properties of measures of optimal investment for benchmarked portfolios (Q3568907) (← links)
- Portfolio Selection with Common Correlation Mixture Models (Q3606095) (← links)
