The effects of errors in means, variances, and correlations on the mean-variance framework

DOI10.1080/14697688.2022.2083009zbMath1500.91121OpenAlexW4285391355MaRDI QIDQ5041668

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Publication date: 14 October 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2022.2083009

zbMATH Keywords

parameter estimationinvestment analysissensitivity analysismean-variance frameworkuniformly distributed random portfolio

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Portfolio optimization through a network approach: network assortative mixing and portfolio diversification

Cites Work

• A characterization of the distributions that imply mean-variance utility functions
• Computing efficient frontiers using estimated parameters
• Recent advancements in robust optimization for investment management
• Robust equity portfolio performance
• Noisy covariance matrices and portfolio optimization. II
• Horses for courses: mean-variance for asset allocation and \(1/N\) for stock selection
• 60 years of portfolio optimization: practical challenges and current trends
• Theoretical and empirical estimates of mean-variance portfolio sensitivity
• Estimation for Markowitz Efficient Portfolios
• A uniformly distributed random portfolio
• Stability analysis of portfolio management with conditional value-at-risk

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