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ArticleSparse and robust mean–variance portfolio optimization problems

Zhifeng Dai2019

Article2019

Sparse and robust mean–variance portfolio optimization problems

Zhifeng Dai · Fei Wang

44 citations·0/0 files stored·Physica A Statistical Mechanics and its Applications

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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*2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?1980On estimating the expected return on the market 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 2004Honey, I Shrunk the Sample Covariance Matrix 1993The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice

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2019Liquidity-adjusted value-at-risk optimization of a multi-asset portfolio using a vine copula approach 2022Robust portfolio selection problems: a comprehensive review 2022Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity

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Year2019

Typearticle

Published2019-04-24

VenuePhysica A Statistical Mechanics and its Applications

ISSN-L0378-4371

Languageen

Citations44

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.physa.2019.04.151

openalex_workW2942347792

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