A linear programming model for selection of sparse high-dimensional multiperiod portfolios
This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case in which the number of assets (p) is larger than the number of observations (n). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in the...
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Main Authors: | Pun, Chi Seng, Wong, Hoi Ying |
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其他作者: | School of Physical and Mathematical Sciences |
格式: | Article |
語言: | English |
出版: |
2018
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在線閱讀: | https://hdl.handle.net/10356/87897 http://hdl.handle.net/10220/46617 |
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