An Iterative Approach to Ill-Conditioned Optimal Portfolio Selection
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Cited by:
- Kobayashi, Ken & Takano, Yuichi & Nakata, Kazuhide, 2023. "Cardinality-constrained distributionally robust portfolio optimization," European Journal of Operational Research, Elsevier, vol. 309(3), pages 1173-1182.
- Alfelt, Gustav & Mazur, Stepan, 2020. "On the mean and variance of the estimated tangency portfolio weights for small samples," Working Papers 2020:8, Örebro University, School of Business.
- Karlsson, Sune & Mazur, Stepan & Muhinyuza, Stanislas, 2020. "Statistical Inference for the Tangency Portfolio in High Dimension," Working Papers 2020:10, Örebro University, School of Business.
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More about this item
Keywords
Mean-variance portfolio; singular covariance matrix; linear ill-posed problems; second order damped dynamical systems;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2019-05-27 (Operations Research)
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