Lan, Wei; Wang, Hansheng; Tsai, Chih-Ling - In: Computational Statistics & Data Analysis 56 (2012) 1, pp. 88-99
The mean-variance theory of Markowitz (1952) indicates that large investment portfolios naturally provide better risk diversification than small ones. However, due to parameter estimation errors, one may find ambiguous results in practice. Hence, it is essential to identify relevant stocks to...