An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
type: Item
instance of: scholarly article
title: An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
zbMATH Open document ID: 1253.91168
author: Pui Lam Leung
author: Wing-Keung Wong
author: Hon Yip Ng
published in: European Journal of Operational Research
publication date: 2012-12-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G70
Mathematics Subject Classification ID: 62F40
zbMATH DE Number: 6119489
zbMATH Keywords: Markowitz mean
zbMATH Keywords: variance optimization
zbMATH Keywords: estimation of optimal portfolio weights
zbMATH Keywords: inverted Wishart distribution
zbMATH Keywords: consistency
MaRDI profile type: Publication
full work available at URL: j.ejor.2012.04.003
OpenAlex ID: W3122224556
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DOI: 10.1016/J.EJOR.2012.04.003
description: scientific article; zbMATH DE number 6119489