MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY

DOI10.1142/S0219024920500302zbMath1457.91350OpenAlexW3029382984MaRDI QIDQ5147995

Yue Shi, Ngai Hang Chan, Chi Tim Ng

Publication date: 29 January 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500302

zbMATH Keywords

arbitrage pricing theoryfactor modelMarkowitz portfolioblur of history

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (1)

MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION

Cites Work

• Unnamed Item
• Statistical analysis of factor models of high dimension
• SHRINKAGE ESTIMATION OF MEAN-VARIANCE PORTFOLIO
• ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

This page was built for publication: MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY