A Probabilistic-Based Portfolio Resampling Under the Mean-Variance Criterion

A Probabilistic-Based Portfolio Resampling Under the Mean-Variance Criterion

An abundant amount of literature has documented the limitations of traditional unconstrained mean-variance optimization and Efficient Frontier (EF) considered as an estimation-error maximization that magnifies errors in parameter estimates. Originally introduced by Michaud (1998), empirical superio...

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Bibliographic Details
Main Author: Anmar Al Wakil
Format: Article
Language:English
Published: SGH Warsaw School of Economics, Collegium of Economic Analysis 2021-04-01
Series:Econometric Research in Finance
Subjects:
Efficient Frontier
Mean-Variance Criterion
Portfolio Resampling
Bagging
Probabilistic Approach
Online Access:https://www.erfin.org/journal/index.php/erfin/article/view/131

Internet

https://www.erfin.org/journal/index.php/erfin/article/view/131

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