Mean-Variance Portfolia Optimization When Means and Covariances are Unknown
Year of publication: |
2010
|
---|---|
Authors: | Xing, Haipeng ; Lai, Tze Leung ; Chen, Zehao |
Publisher: |
[S.l.] : SSRN |
Subject: | Theorie | Theory | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance |
Extent: | 1 Online-Ressource (29 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments October 18, 2010 erstellt |
Other identifiers: | 10.2139/ssrn.1694057 [DOI] |
Classification: | C10 - Econometric and Statistical Methods: General. General ; G11 - Portfolio Choice |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Optimality and diversifiability of mean variance and arbitrage pricing portfolios
Pesaran, M. Hashem, (2009)
-
Dominating estimators for the global minimum variance portfolio
Frahm, Gabriel, (2009)
-
Do high-frequency data improve high-dimensional portfolio allocations?
Hautsch, Nikolaus, (2013)
- More ...
-
Mean--variance portfolio optimization when means and covariances are unknown
Lai, Tze Leung, (2011)
-
Statistical models and methods for financial markets
Lai, Tze Leung, (2010)
-
Structural change as an alternative to long memory in financial time series
Lai, Tze Leung, (2006)
- More ...