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

Description
Summary:	10.1287/opre.2019.1858