Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
Author:
Affiliation:
1. McCombs School of Business, University of Texas, Austin, Texas 78712
Publisher
Institute for Operations Research and the Management Sciences (INFORMS)
Subject
Management Science and Operations Research,Computer Science Applications
Reference43 articles.
1. Global Portfolio Optimization
2. Sparse and stable Markowitz portfolios
3. 372: The Anova and Multiple Comparisons for Data with Heterogeneous Variances
4. Graph mining
5. The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice
Cited by 9 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. Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization;European Journal of Operational Research;2024-10
2. Incentive-Aware Models of Financial Networks;Operations Research;2024-08-12
3. Partial index tracking enhanced mean–variance portfolio;International Journal of Finance & Economics;2024-03-14
4. Portfolio selection: A target-distribution approach;European Journal of Operational Research;2023-10
5. Portfolio Construction Based on the Modern Portfolio Theory Including Gold, Crude Oil and Cryptocurrency;BCP Business & Management;2023-03-02
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3