A portfolio optimization approach with a large number of assets : applications to the US and Korean stock markets
Year of publication: |
2018
|
---|---|
Authors: | Lee, Miyoung ; Kim, Jihun ; Oh, Sekyung |
Published in: |
Asia-Pacific journal of financial studies. - Richmond : Wiley-Blackwell, ISSN 2041-9945, ZDB-ID 2616683-5. - Vol. 47.2018, 5, p. 634-659
|
Subject: | Mean-variance portfolio optimization | Singular covariance matrix | Least squares | Out-of-sample performance | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Südkorea | South Korea | Schätztheorie | Estimation theory | Korrelation | Correlation | Aktienmarkt | Stock market |
-
Modeling the dependence of conditional correlations on market volatility
Bauwens, Luc, (2016)
-
A new method for better portfolio investment : a case of the Korean stock market
Eom, Cheoljun, (2018)
-
Explaining the stock-stock, bond-bond and stock-bond correlation across countries
McMillan, David G., (2020)
- More ...
-
Lee, Miyoung, (2018)
-
Improving liquidity in emission trading schemes
Kim, Jihun, (2021)
-
Kim, Jihun, (2020)
- More ...