An improved estimation to make Markowitz’s portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
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DOI: 10.1016/j.ejor.2012.04.003
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More about this item
Keywords
G11; C13; Markowitz mean–variance optimization; Estimation of optimal portfolio weights; Inverted wishart distribution; Consistency;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
Statistics
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