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Penalizing variances for higher dependency on factors

Published:2016-09-23 Issue:4 Volume:17 Page:479-489
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Kim Jang Ho,Kim Woo Chang,Fabozzi Frank J.

Funder

National Research Foundation of Korea (NRF)

Ministry of Science, ICT & Future Planning

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2016.1220677

Reference35 articles.

1. Robust Optimization

2. Sensitivity Analysis for Mean-Variance Portfolio Problems

3. Computing efficient frontiers using estimated parameters

4. On Persistence in Mutual Fund Performance

5. Multiperiod portfolio optimization models in stochastic markets using the mean–variance approach

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Analyzing Markets with a Large Public Company: The Case of South Korea;The Journal of Portfolio Management;2021-05-11

2. Recent advancements in robust optimization for investment management;Annals of Operations Research;2017-08-20

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