MEAN–VARIANCE PORTFOLIO MANAGEMENT WITH FUNCTIONAL OPTIMIZATION

DOI10.1142/S0219024920500557zbMath1459.91185arXiv2005.12774OpenAlexW3030861733MaRDI QIDQ5854327

Zhaoyi He, Ka Wai Tsang

Publication date: 16 March 2021

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

Full work available at URL: https://arxiv.org/abs/2005.12774

zbMATH Keywords

resamplingportfolio managementSharpe ratiofunctional optimizationtime-series

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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• MARKOWITZ PORTFOLIO AND THE BLUR OF HISTORY
• Common risk factors in the returns on stocks and bonds
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