An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
Year of publication: |
2012
|
---|---|
Authors: | Leung, Pui-Lam ; Ng, Hon-Yip ; Wong, Wing-Keung |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 222.2012, 1, p. 85-95
|
Publisher: |
Elsevier |
Subject: | Markowitz mean–variance optimization | Estimation of optimal portfolio weights | Inverted wishart distribution | Consistency |
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