Nhat Minh Nguyen; Nguyen Trung Duc; Thalassinos, Eleftherios - In: Journal of risk and financial management : JRFM 15 (2022) 6, pp. 1-12
Harry Markowitz introduced the Modern Portfolio Theory (MPT) for the first time in 1952 which has been applied widely for optimal portfolio selection until now. However, the theory still has some limitations that come from the instability of covariance matrix input. This leads the selected...
