The best estimation for high-dimensional Markowitz mean-variance optimization
Year of publication: |
2013-01-10
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Authors: | Bai, Zhidong ; Li, Hua ; Wong, Wing-Keung |
Type of publication: | Book / Working Paper |
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Language: | English |
Notes: | Bai, Zhidong and Li, Hua and Wong, Wing-Keung (2013): The best estimation for high-dimensional Markowitz mean-variance optimization. |
Classification: | G11 - Portfolio Choice ; C3 - Econometric Methods: Multiple/Simultaneous Equation Models |
Source: | BASE |
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