The best estimation for high-dimensional Markowitz mean-variance optimization
Year of publication: |
2013-01-10
|
---|---|
Authors: | Bai, Zhidong ; Li, Hua ; Wong, Wing-Keung |
Institutions: | Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München |
Subject: | Markowitz mean-variance optimization | Optimal Return | Optimal Portfolio Allocation | Large Random Matrix | Bootstrap Method |
-
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong, (2016)
-
Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization
Bai, Zhidong, (2016)
-
The best estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong, (2013)
- More ...
-
Test statistics for prospect and Markowitz stochastic dominances with applications
Bai, Zhidong, (2011)
-
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong, (2016)
-
Spectrally-corrected estimation for high-dimensional Markowitz mean-variance optimization
Bai, Zhidong, (2016)
- More ...