Improving the volatility of the optimal weights of the Markowitz model-Reference-Cited by-同舟云学术

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Improving the volatility of the optimal weights of the Markowitz model

Published:2021-09-29 Issue: Volume: Page:1-23
ISSN:1331-677X
Container-title:Economic Research-Ekonomska Istraživanja
language:en
Short-container-title:Economic Research-Ekonomska Istraživanja

Author:

Ortiz Roberto¹²,Contreras Mauricio³,Mellado Cristhian⁴

Affiliation:

1. Faculty of Engineering, Diego Portales University, Santiago, Chile

2. Faculty of Engineering, Chile and FACEA Universidad Catolica de la Santisima Concepcion, Concepcion, Chile

3. Physics Department, Universidad Metropolitana de Ciencias de la Educacion UMCE, Santiago, Chile

4. Faculty of Economic and Administrative Sciences, Universidad Catolica de la Santisima Concepcion, Concepcion, Chile

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2021.1981963

Reference40 articles.

1. ENHANCEMENT OF THE APPLICABILITY OF MARKOWITZ'S PORTFOLIO OPTIMIZATION BY UTILIZING RANDOM MATRIX THEORY

2. PORTFOLIO ANALYSIS UNDER UNCERTAIN MEANS, VARIANCES, AND COVARIANCES

3. Naive Diversification Strategies in Defined Contribution Saving Plans

4. On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

5. Positively Weighted Minimum-Variance Portfolios and the Structure of Asset Expected Returns

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