An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment

DOI10.1016/j.ejor.2012.04.003zbMath1253.91168OpenAlexW3122224556MaRDI QIDQ1926915

Pui Lam Leung, Wing-Keung Wong, Hon Yip Ng

Publication date: 29 December 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.04.003

zbMATH Keywords

consistencyinverted Wishart distributionestimation of optimal portfolio weightsMarkowitz meanvariance optimization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Bootstrap, jackknife and other resampling methods (62F40) Portfolio theory (91G10)

Related Items (11)

Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ Cardinality constrained portfolio selection problem: a completely positive programming approach ⋮ Fuzzy investment portfolio selection models based on interval analysis approach ⋮ Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment ⋮ Stochastic dominance via quantile regression with applications to investigate arbitrage opportunity and market efficiency ⋮ Theoretical and empirical estimates of mean-variance portfolio sensitivity ⋮ Mean-variance portfolio selection in presence of infrequently traded stocks ⋮ Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection ⋮ Improved estimation of optimal portfolio with an application to the US stock market ⋮ Pricing and risk management of interest rate swaps

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