Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. A strand of criticism has emerged that points to the phenomenon that Mean...

Full description

Bibliographic Details
Main Author: MARAKBI, ZAKARIA
Format: Others
Language:English
Published: KTH, Industriell Marknadsföring och Entreprenörskap 2016
Subjects:
portfolio allocation
mean-variance optimization
efficient frontier
covariance ma- trix
estimation error
optimization enigma
random matrix theory
shrinking
robust statistics
Economics and Business
Ekonomi och näringsliv
Online Access:http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185

Internet

http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-199185

Similar Items