The high-cardinality of mean-variance portfolios is a concern in practice because it increases transaction costs and management fees. Therefore, we propose a method to resolve the cardinality problem by applying the semi-definite relaxation method to a cardinality constrained optimal tangent...

Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to mean–variance portfolios. However, since the robust formulation finds a different...

The development of robo-advising allows investors to receive advice on investments that were considered too small by traditional human advisers. In this paper, the viability of robo-advising for individual investors is discussed by investigating one of the basic strategies of portfolio...

It is widely believed that the 1/n portfolio provides a good ex-post performance. Several studies have compared the 1/n portfolio with respect to a set of optimal mean-variance policies to prove or disprove the superiority of the 1/n portfolio. However, this approach is not likely to yield a...

This paper aims to provide a mathematical justification for asset allocation. Asset allocation is widely employed in practice, yet the question of its efficiency remains open. Asset allocation allows portfolio managers to concentrate on a relatively small number of assets, while security...

In this study, we propose a uniformly distributed random portfolio as an alternative benchmark for the portfolio performance evaluation. The uniformly distributed random portfolio is analogous to the enumeration of all feasible portfolios without any prior on the market. Therefore, the relative...