Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio

10.1287/opre.2019.1858

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Bibliographic Details
Main Authors: Zhao, Long, Chakrabarti, Deepayan, Muthuraman, Kumar
Other Authors: ANALYTICS AND OPERATIONS
Format: Article
Language:English
Published: INFORMS 2023
Subjects:
Social Sciences
Science & Technology
Technology
Management
Operations Research & Management Science
Business & Economics
portfolio choice
estimation error
NAIVE DIVERSIFICATION
NONLINEAR SHRINKAGE
MARKOWITZ
SELECTION
PERFORMANCE
VARIANCE
MARKET
TESTS
Online Access:https://scholarbank.nus.edu.sg/handle/10635/243143
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Institution: National University of Singapore
Language: English

Internet

https://scholarbank.nus.edu.sg/handle/10635/243143

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