Search Results - subject:"Markowitz Mean Variance"

A novel approach to portfolio selection using news volume and sentiment

Ho, Kin-Yip; Wang, Kun; Wang, Wanbin Walter - In: International review of finance : the official journal … 23 (2023) 4, pp. 903-917

Persistent link: https://www.econbiz.de/10014440425

A linear-programming portfolio optimizer to mean-variance optimization

Liu, Xiaoyue; Huang, Zhenzhong; Song, Biwei; Zhang, Zhen - In: International journal of theoretical and applied … 26 (2023) 4/5, pp. 1-23

Persistent link: https://www.econbiz.de/10014497168

Regression, multicollinearity and Markowitz

Ortiz, Roberto; Contreras, Mauricio; Mellado, Cristhian - In: Finance research letters 58 (2023) 3, pp. 1-23

Persistent link: https://www.econbiz.de/10014636774

Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020

We investigate the effects of constraining leverage and shrinking covariance matrix in constructing large portfolios, both theoretically and empirically. Considering a wide variety of setups that involve conditioning or not conditioning the covariance matrix estimator on the recent past...

Persistent link: https://www.econbiz.de/10012155364

Risk reduction and efficiency increase in large portfolios : leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2020 - Revised version

Persistent link: https://www.econbiz.de/10012154193

Risk reduction and efficiency increase in large portfolios: Leverage and shrinkage

Zhao, Zhao; Ledoit, Olivier; Jiang, Hui - 2019

Markowitz mean-variance portfolio optimization: first, restrict leverage so much that no short sales are allowed; or, second …" case of estimating the Global Minimum Variance portfolio, and also for textbook-style construction of Markowitz mean-variance …

Persistent link: https://www.econbiz.de/10012040364