Positive Weights on the Efficient Frontier

DOI10.1080/10920277.2014.922032zbMath1414.91437OpenAlexW2077103841MaRDI QIDQ5379129

Phelim P. Boyle

Publication date: 28 May 2019

Published in: North American Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10920277.2014.922032

zbMATH Keywords

capital asset pricing modelmarket portfolio weights

Mathematics Subject Classification ID

Related Items (5)

Signal-to-noise matrix and model reduction in continuous-time hidden Markov models ⋮ Statistical arbitrage for multiple co-integrated stocks ⋮ Short Positions in the First Principal Component Portfolio ⋮ Principal Eigenportfolios for U.S. Equities ⋮ Unnamed Item

Cites Work

• On Perron-Frobenius property of matrices having some negative entries
• Statistical arbitrage in the US equities market
• Impossible Frontiers
• The Distribution of the Sample Minimum-Variance Frontier
• Perron-Frobenius theorem for matrices with some negative entries

This page was built for publication: Positive Weights on the Efficient Frontier