Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it

DOI10.1016/j.ejor.2021.11.036zbMath1506.91159OpenAlexW3216542766MaRDI QIDQ2140218

Elmira Mynbayeva, Yuan Zhao, John D. Lamb

Publication date: 20 May 2022

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2021.11.036

zbMATH Keywords

multivariate statisticsportfolio optimisationestimation riskhomogeneous subsetsbootstrap aggregation

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Sequential statistical analysis (62L10) Portfolio theory (91G10)

Related Items (1)

Optimal multi-period transaction-cost-aware long-only portfolios and time consistency in efficiency

Cites Work

• Unnamed Item
• Bagging predictors
• A well-conditioned estimator for large-dimensional covariance matrices
• A theoretical foundation of portfolio resampling
• Robust portfolio optimization: a categorized bibliographic review
• Naive versus optimal diversification: tail risk and performance
• Portfolio selection problems with Markowitz's mean-variance framework: a review of literature
• Shrinkage estimation
• Quantitative portfolio selection: using density forecasting to find consistent portfolios
• Resampling DEA estimates of investment fund performance
• 60 years of portfolio optimization: practical challenges and current trends
• Robust multiobjective optimization \& applications in portfolio optimization
• Portfolio selection with higher moments
• Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches
• Modified Sequentially Rejective Multiple Test Procedures
• Rectangular Confidence Regions for the Means of Multivariate Normal Distributions

This page was built for publication: Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it