An Improved Estimation to Make Markowitz's Portfolio Optimization Theory Users Friendly and Practically Useful
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- Type
- article
- Published
- 2009-05-16
- Cited by
- 3
- References
- 54
- Access
- Open access
- OpenAlex
- https://openalex.org/W1552322592
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:116975352
Keywords
Modern portfolio theory, Portfolio optimization, Portfolio, Computer science, Estimation
References
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- On Testing the Equality of the Multiple Sharpe Ratios, with Application on the Evaluation of Ishares
- Bias and consistency of the maximum Sharpe ratio
- Estimated correlation matrices and portfolio optimization
- FUNDS, FACTORS, AND DIVERSIFICATION IN ARBITRAGE PRICING MODELS
- Portfolio Optimization with Factors, Scenarios, and Realistic Short Positions
- A Linear Programming Formulation of the General Portfolio Selection Problem
- International Portfolio Diversification with Estimation Risk
- Efficient estimation of covariance selection models
- A Linear Programming Algorithm for Mutual Fund Portfolio Selection
- An extended multinomial‐Dirichlet model for error bounds for dollar‐unit sampling*
- The arbitrage theory of capital asset pricing
- Bayesian Dynamic Factor Models and Portfolio Allocation
- CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
- Prediction and Decision Problems in Regression Models from the Bayesian Point of View
- THE CAPITAL ASSET PRICING MODEL (CAPM), SHORT‐SALE RESTRICTIONS AND RELATED ISSUES
- Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market
- Fiscal Policy and Asset Markets: A Semiparametric Analysis
- Large-Scale Portfolio Optimization
- A pseudo-Bayesian model in financial decision making with implications to market volatility, under- and overreaction
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