The effects of errors in means, variances, and correlations on the mean-variance framework-Reference-Cited by-同舟云学术

The effects of errors in means, variances, and correlations on the mean-variance framework

Published:2022-07-14 Issue:10 Volume:22 Page:1893-1903
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Chung Munki¹^ORCID,Lee Yongjae²^ORCID,Kim Jang Ho³^ORCID,Kim Woo Chang¹^ORCID,Fabozzi Frank J.⁴^ORCID

Affiliation:

1. Department of Industrial & Systems Engineering, Korea Advanced Institute of Science and Technology (KAIST), 291 Daehak-ro, Daejeon 34141, Republic of Korea

2. Department of Industrial Engineering, Ulsan National Institute of Science and Technology (UNIST), 50 UNIST-gil, Ulsan 44919, Republic of Korea

3. Department of Industrial and Management Systems Engineering and Department of Big Data Analytics, Kyung Hee University, 1732 Deogyeong-daero, Yongin 17104, Republic of Korea

4. EDHEC Business School, 393 Promenade des Anglais, Nice Cedex 3 06202, France

Funder

National Research Foundation of Korea

Korea Government

EDHEC Business School

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2022.2083009

Reference40 articles.