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Regularization of Portfolio Allocation · Study

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PreprintRegularization of Portfolio Allocation

Benjamin Bruder2013

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Preprintgreen2013

Regularization of Portfolio Allocation

Benjamin Bruder · Nicolas Gaussel · Jean-Charles Richard · Thierry Roncalli

36 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1963A Simplified Model for Portfolio Analysis 1992Global Portfolio Optimization 2003Improved estimation of the covariance matrix of stock returns with an application to portfolio selection 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

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2016A Primer on Alternative Risk Premia

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2011Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selectionarticle · 12 shared references 2012On portfolio optimization: Imposing the right constraintsarticle · 12 shared references 2015Improving Mean Variance Optimization through Sparse Hedging Restrictionsarticle · 11 shared references 2015Approaching Mean-Variance Efficiency for Large Portfoliosarticle · 10 shared references 2017Socially responsible investment portfolios: Does the optimization process matter?article · 10 shared references 2012Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrixarticle · 10 shared references

Details

Year2013

Typepreprint

Published2013-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2767358

openalex_workW2336635602

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