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
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spelling sg-nus-scholar.10635-2431432024-11-10T13:46:45Z Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio Zhao, Long Chakrabarti, Deepayan Muthuraman, Kumar ANALYTICS AND OPERATIONS Dr Long Zhao 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 10.1287/opre.2019.1858 OPERATIONS RESEARCH 67 4 965-983 2023-07-17T05:53:28Z 2023-07-17T05:53:28Z 2019-07-01 2023-07-14T07:51:35Z Article Zhao, Long, Chakrabarti, Deepayan, Muthuraman, Kumar (2019-07-01). Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio. OPERATIONS RESEARCH 67 (4) : 965-983. ScholarBank@NUS Repository. https://doi.org/10.1287/opre.2019.1858 0030-364X 1526-5463 https://scholarbank.nus.edu.sg/handle/10635/243143 en INFORMS Elements
institution National University of Singapore
building NUS Library
continent Asia
country Singapore
Singapore
content_provider NUS Library
collection ScholarBank@NUS
language English
topic 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
spellingShingle 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
Zhao, Long
Chakrabarti, Deepayan
Muthuraman, Kumar
Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
description 10.1287/opre.2019.1858
author2 ANALYTICS AND OPERATIONS
author_facet ANALYTICS AND OPERATIONS
Zhao, Long
Chakrabarti, Deepayan
Muthuraman, Kumar
format Article
author Zhao, Long
Chakrabarti, Deepayan
Muthuraman, Kumar
author_sort Zhao, Long
title Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
title_short Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
title_full Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
title_fullStr Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
title_full_unstemmed Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio
title_sort portfolio construction by mitigating error amplification: the bounded-noise portfolio
publisher INFORMS
publishDate 2023
url https://scholarbank.nus.edu.sg/handle/10635/243143
_version_ 1821229791649464320

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