Rational explanation for rule-of-thumb practices in asset allocation

DOI10.1080/14697688.2019.1622767zbMath1441.91072OpenAlexW2959544262WikidataQ127543345 ScholiaQ127543345MaRDI QIDQ5120738

Majeed Simaan, Yusif E. Simaan

Publication date: 16 September 2020

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

Full work available at URL: https://doi.org/10.1080/14697688.2019.1622767

zbMATH Keywords

investmentportfolio theoryestimation risknaive allocation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

Estimation risk and the implicit value of index-tracking

Uses Software

• ggplot2

Cites Work

• Unnamed Item
• Distributional properties of portfolio weights
• A test for the weights of the global minimum variance portfolio in an elliptical model
• The benefits of differential variance-based constraints in portfolio optimization
• ggplot2
• Portfolio Selection with Robust Estimation

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