Search Results - subject:"Mean-variance portfolio"

Prospect theory and asset allocation

Fortin, Ines; Hlouskova, Jaroslava - In: The quarterly review of economics and finance 94 (2024), pp. 214-240

Persistent link: https://www.econbiz.de/10014494672

Enhancing an existing algorithm for small-cardinality constrained portfolio optimisation

Phelps, Nathan; Metzler, Adam - In: Journal of the Operational Research Society 75 (2024) 5, pp. 967-981

Persistent link: https://www.econbiz.de/10014555795

Portfolio selection with a rank-deficient covariance matrix

Gulliksson, Mårten; Oleynik, Anna; Mazur, Stepan - In: Computational economics 63 (2024) 6, pp. 2247-2269

Persistent link: https://www.econbiz.de/10014636734

Sparse portfolio selection via topological data analysis based clustering

Goel, Anubha; Filipović, Damir; Pasricha, Puneet - 2024

Persistent link: https://www.econbiz.de/10014485759

A study on the performance evaluation of equal-weight portfolio and optimum risk portfolio on the Indian stock market

Sen, Abhiraj; Sen, Jaydip - In: International journal of business forecasting and … 10 (2025) 1, pp. 37-95

Persistent link: https://www.econbiz.de/10015375443

Estimation of optimal portfolio compositions for small sample and singular covariance matrix

Bodnar, Taras; Mazur, Stepan; Nguyen, Hoang - 2022

In the paper we consider the optimal portfolio choice problem under parameter uncertainty when the covariance matrix of asset returns is singular. Very useful stochastic representations are deduced for the characteristics of the expected utility optimal portfolio. Using these stochastic...

Persistent link: https://www.econbiz.de/10014331153