On the Combination of Naive and Mean-Variance Portfolio Strategies
Author:
Affiliation:
1. LFIN/LIDAM, UCLouvain, Louvain-la-Neuve, Belgium
2. Department of Decision Sciences, HEC Montréal, Montreal, Canada
Funder
Fonds de la Recherche Scientifique
Belgian Federal Science Policy Office
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07350015.2023.2256801
Reference23 articles.
1. Approaching Mean-Variance Efficiency for Large Portfolios
2. Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios
3. Optimal Shrinkage-Based Portfolio Selection in High Dimensions
4. Estimation of the global minimum variance portfolio in high dimensions
5. Optimal Versus Naive Diversification: How Inefficient is the 1/NPortfolio Strategy?
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