Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection

DOI10.1016/j.ejor.2020.05.043zbMath1487.91129OpenAlexW2992583301MaRDI QIDQ2028868

Emmanouil Platanakis, Charles Sutcliffe, Xiaoxia Ye

Publication date: 3 June 2021

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.05.043

zbMATH Keywords

investment analysisportfolio theorymean-variancestock selectionasset allocationnaive diversification

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

The effects of errors in means, variances, and correlations on the mean-variance framework ⋮ Modelling and filtering for dynamic investment in the precious-metals market ⋮ A mental account-based portfolio selection model with an application for data with smaller dimensions ⋮ Distributionally robust mean-absolute deviation portfolio optimization using Wasserstein metric

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