MEAN-VARIANCE PORTFOLIO SELECTION WITH EITHER A SINGULAR OR NONSINGULAR VARIANCE-COVARIANCE MATRIX

被引：12

作者：

BUSER, SA ^{[1
]}

机构：

[1] OHIO STATE UNIV,COLUMBUS,OH 43210

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 1977年 / 12卷 / 03期

关键词：

D O I：

10.2307/2330539

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

页码：347 / 361

页数：15

共 50 条

[1] A COMMENT ON MEAN-VARIANCE PORTFOLIO SELECTION WITH EITHER A SINGULAR OR A NONSINGULAR VARIANCE-COVARIANCE MATRIX
RYAN, PJ
LEFOLL, J
JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1981, 16 (03) : 389 - 395
[2] Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix
Ismail, Amine
Pham, Huyen
MATHEMATICAL FINANCE, 2019, 29 (01) : 174 - 207
[3] ON MEAN-VARIANCE PORTFOLIO SELECTION
SCHNABEL, JA
MANAGERIAL AND DECISION ECONOMICS, 1984, 5 (01) : 3 - 6
[4] Optimal mean-variance portfolio selection
Pedersen, Jesper Lund
Peskir, Goran
MATHEMATICS AND FINANCIAL ECONOMICS, 2017, 11 (02) : 137 - 160
[5] Behavioral mean-variance portfolio selection
Bi, Junna
Jin, Hanging
Meng, Qingbin
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 2018, 271 (02) : 644 - 663
[6] Optimal mean-variance portfolio selection
Jesper Lund Pedersen
Goran Peskir
Mathematics and Financial Economics, 2017, 11 : 137 - 160
[7] Improved precision matrix estimation for mean-variance portfolio selection
Mattera, Raffaele
STATISTICS, 2025,
[8] Mean-Variance Model for International Portfolio Selection
Pan, Qiming
Huang, Xiaoxia
EUC 2008: PROCEEDINGS OF THE 5TH INTERNATIONAL CONFERENCE ON EMBEDDED AND UBIQUITOUS COMPUTING, VOL 2, WORKSHOPS, 2008, : 632 - 636
[9] On the selection of an efficient portfolio in the mean-variance approach
Peretti, Alberto
Journal of Interdisciplinary Mathematics, 2004, 7 (01) : 41 - 59
[10] On the Tail Mean-Variance optimal portfolio selection
Landsman, Zinoviy
INSURANCE MATHEMATICS & ECONOMICS, 2010, 46 (03): : 547 - 553

← 1 2 3 4 5 →