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Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection · Study

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Horses for Courses: Mean-Variance for Asset Allocation and 1/N for Stock Selection

Emmanouil Platanakis, Charles M. S. Sutcliffe

2019-01-01articleEuropean Journal of Operational Research59 citationsgreen

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1952PORTFOLIO SELECTION*

1966Mutual Fund Performance

2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?

1992Global Portfolio Optimization

2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps

1969The Efficiency Analysis of Choices Involving Risk

2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

1986Determinants of Portfolio Performance

Details

Year2019

Typearticle

VenueEuropean Journal of Operational Research

Languageen

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Identifiers

doi10.1016/j.ejor.2020.05.043

openalex_workW2992583301

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