Results 111 to 119 of about 5,889 (119)

Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix

Mathematical Finance, 2019
Huyên Pham
exaly  

Sparse and stable Markowitz portfolios

Proceedings of the National Academy of Sciences of the United States of America, 2009
Ingrid Daubechies, Domenico Giannone, Ignace Loris   +2 more
exaly  

Nonlinear Shrinkage of the Covariance Matrix for Portfolio Selection: Markowitz Meets Goldilocks

Review of Financial Studies, 2017
Olivier Ledoit, Michael Wolf
exaly  

Markowitz’s model with Euclidean vector spaces

European Journal of Operational Research, 2009
Salvador Cruz-Rambaud
exaly  

Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification

Management Science, 2012
Phelim Boyle, Lorenzo Garlappi, Raman Uppal   +2 more
exaly  

The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?

Financial Analysts Journal, 1989
exaly  

Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

IEEE Transactions on Automatic Control, 2004
George Yin Yin, Xun Yu Zhou
exaly  

Markowitz-based portfolio selection with cardinality constraints using improved particle swarm optimization

Expert Systems With Applications, 2012
exaly  

Multi-agent electricity markets: Retailer portfolio optimization using Markowitz theory

Electric Power Systems Research, 2017
exaly