Review of Research on Markowitz Model in Portfolios
نویسندگان
چکیده
منابع مشابه
Sparse and stable Markowitz portfolios.
We consider the problem of portfolio selection within the classical Markowitz mean-variance framework, reformulated as a constrained least-squares regression problem. We propose to add to the objective function a penalty proportional to the sum of the absolute values of the portfolio weights. This penalty regularizes (stabilizes) the optimization problem, encourages sparse portfolios (i.e., por...
متن کاملOn the Realized Risk of High-Dimensional Markowitz Portfolios
We study the realized risk of Markowitz portfolio computed using parameters estimated from data and generalizations to similar questions involving the out-of-sample risk in quadratic programs with linear equality constraints. We do so under the assumption that the data is generated according to an elliptical model, which allows us to study models where we have heavy-tails, tail dependence, and ...
متن کاملOn the Markowitz mean-variance analysis of self-financing portfolios
This paper extends the work of Markowitz (1952), Korkie and Turtle (2002) and others by first proving that the traditional estimate for the optimal return of self-financing portfolios always overestimates from its theoretic value. To circumvent the problem, we develop a bootstrap estimate for the optimal return of self-financing portfolios and prove that this estimate is consistent with its cou...
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ژورنال
عنوان ژورنال: Advances in economics, business and management research
سال: 2022
ISSN: ['2352-5428']
DOI: https://doi.org/10.2991/aebmr.k.220405.131