Search Results - subject:"Mean variance optimization"

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of Risk and Financial Management 11 (2018) 2, pp. 1-12

processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …

Persistent link: https://www.econbiz.de/10012611013

Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

processes are correlated by a common shock. A general mean-variance optimization problem is investigated, that is, besides the …

Persistent link: https://www.econbiz.de/10011857001

A practical guide to robust portfolio optimization

Yin, Chenyang; Perchet, Romain; Soupé, François - In: Quantitative finance 21 (2021) 6, pp. 911-928

Persistent link: https://www.econbiz.de/10012515625

Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization

Bai, Zhidong; Li, Hua; McAleer, Michael; Wong, Wing-Keung - 2016

This paper considers the portfolio problem for high dimensional data when the dimension and size are both large.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral distribution of the sample covariance is the main factor to...

Persistent link: https://www.econbiz.de/10011526102