Kong, Xin-Bing - In: TEST: An Official Journal of the Spanish Society of … 22 (2013) 4, pp. 647-669
It is well known that the traditional estimated risk for the Markowitz mean-variance optimization had been demonstrated to seriously depart from its theoretic optimal risk due to accumulation of input estimation errors. Fan et al. (in J. Am. Stat. Assoc. 107:592–606, <CitationRef CitationID="CR4">2012a</CitationRef>) addressed the...</citationref>