Mean-variance portfolio optimization when means and covariances are unknown

DOI10.1214/10-AOAS422zbMath1454.62303arXiv1108.0996OpenAlexW3125297396MaRDI QIDQ641134

Tze Leung Lai, Haipeng Xing, Zehao Chen

Publication date: 21 October 2011

Published in: The Annals of Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0996

zbMATH Keywords

stochastic optimizationempirical Bayesefficient frontierMarkowitz's portfolio theory

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites Work

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• High dimensional covariance matrix estimation using a factor model
• Computing efficient frontiers using estimated parameters
• Regularized estimation of large covariance matrices
• Estimation for Markowitz Efficient Portfolios
• Covariance matrix selection and estimation via penalised normal likelihood
• Risk and asset allocation.

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