Mean-variance optimization for asset allocation
Year of publication: |
2021
|
---|---|
Authors: | Kim, Jang Ho ; Lee, Yongjae ; Kim, Woo Chang ; Fabozzi, Frank J. |
Published in: |
The journal of portfolio management : JPM. - London : IPR Journals, ISSN 2168-8656, ZDB-ID 2046318-2. - Vol. 47.2021, 5, p. 24-40
|
Subject: | Quantitative methods | statistical methods | portfolio construction | performance measurement | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Methode | Statistical method | Performance-Messung | Performance measurement |
-
The myth of diversification reconsidered
Kinlaw, William, (2021)
-
Interpretable machine learning for diversified portfolio construction
Jaeger, Markus, (2021)
-
Forecasting long-horizon volatility for strategic asset allocation
Cardinale, Mirko, (2021)
- More ...
-
The effects of errors in means, variances, and correlations on the mean-variance framework
Chung, Munki, (2022)
-
Goal-based investing based on multi-stage robust portfolio optimization
Kim, Jang Ho, (2022)
-
Sparse tangent portfolio selection via semi-definite relaxation
Kim, Min Jeong, (2016)
- More ...