Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
نویسندگان
چکیده
منابع مشابه
Asset Allocation and Risk Assessment with Gross Exposure Constraints for Vast Portfolios
Markowitz (1952, 1959) laid down the ground-breaking work on the mean-variance analysis. Under his framework, the theoretical optimal allocation vector can be very different from the estimated one for large portfolios due to the intrinsic difficulty of estimating a vast covariance matrix and return vector. This can result in adverse performance in portfolio selected based on empirical data due ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2008
ISSN: 1556-5068
DOI: 10.2139/ssrn.1307423