A Privacy-preserving mean–variance optimal portfolio
Author
Abstract
Suggested Citation
DOI: 10.1016/j.frl.2023.103794
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Maria Demertzis & Silvia Merler & Guntram B Wolff, 2018.
"Capital Markets Union and the Fintech Opportunity,"
Journal of Financial Regulation, Oxford University Press, vol. 4(1), pages 157-165.
- Maria Demertzis & Silvia Merler & Guntram B. Wolff, 2017. "Capital Markets Union and the fintech opportunity," Policy Contributions 21961, Bruegel.
- Victor DeMiguel & Lorenzo Garlappi & Raman Uppal, 2009. "Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?," The Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 1915-1953, May.
- Li, Zhenghui & Yang, Cunyi & Huang, Zhehao, 2022. "How does the fintech sector react to signals from central bank digital currencies?," Finance Research Letters, Elsevier, vol. 50(C).
- Itay Goldstein & Wei Jiang & G Andrew Karolyi, 2019. "To FinTech and Beyond," The Review of Financial Studies, Society for Financial Studies, vol. 32(5), pages 1647-1661.
- Daud, Siti Nurazira Mohd & Ahmad, Abd Halim & Khalid, Airil & Azman-Saini, W.N.W., 2022. "FinTech and financial stability: Threat or opportunity?," Finance Research Letters, Elsevier, vol. 47(PB).
- Ko, Hyungjin & Son, Bumho & Lee, Yunyoung & Jang, Huisu & Lee, Jaewook, 2022. "The economic value of NFT: Evidence from a portfolio analysis using mean–variance framework," Finance Research Letters, Elsevier, vol. 47(PA).
- van der Ploeg, Frederick, 1992. "Temporal risk aversion, intertemporal substitution and Keynesian propensities to consume," Economics Letters, Elsevier, vol. 39(4), pages 479-484, August.
- John M. Abowd & Ian M. Schmutte, 2019.
"An Economic Analysis of Privacy Protection and Statistical Accuracy as Social Choices,"
American Economic Review, American Economic Association, vol. 109(1), pages 171-202, January.
- John M. Abowd & Ian M. Schmutte, 2018. "An Economic Analysis of Privacy Protection and Statistical Accuracy as Social Choices," Working Papers 18-35, Center for Economic Studies, U.S. Census Bureau.
- Kaustia, Markku & Torstila, Sami, 2011. "Stock market aversion? Political preferences and stock market participation," Journal of Financial Economics, Elsevier, vol. 100(1), pages 98-112, April.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Green, Richard C & Hollifield, Burton, 1992.
"When Will Mean-Variance Efficient Portfolios Be Well Diversified?,"
Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
- Green, R.C. & Hollifield, B., 1990. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," GSIA Working Papers 1990-12, Carnegie Mellon University, Tepper School of Business.
- Joop Hartog & Ada Ferrer‐i‐Carbonell & Nicole Jonker, 2002. "Linking Measured Risk Aversion to Individual Characteristics," Kyklos, Wiley Blackwell, vol. 55(1), pages 3-26.
- Sanjiv R. Das, 2019. "The future of fintech," Financial Management, Financial Management Association International, vol. 48(4), pages 981-1007, December.
- Tiberius, Victor & Gojowy, Robin & Dabić, Marina, 2022. "Forecasting the future of robo advisory: A three-stage Delphi study on economic, technological, and societal implications," Technological Forecasting and Social Change, Elsevier, vol. 182(C).
- Merton, Robert C., 1972. "An Analytic Derivation of the Efficient Portfolio Frontier," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 7(4), pages 1851-1872, September.
- Chen, Rui & Ren, Jinjuan, 2022. "Do AI-powered mutual funds perform better?," Finance Research Letters, Elsevier, vol. 47(PA).
- Markowitz, Harry M, 1991.
"Foundations of Portfolio Theory,"
Journal of Finance, American Finance Association, vol. 46(2), pages 469-477, June.
- Markowitz, Harry M., 1990. "Foundations of Portfolio Theory," Nobel Prize in Economics documents 1990-1, Nobel Prize Committee.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Ko, Hyungjin & Byun, Junyoung & Lee, Jaewook, 2023. "A privacy-preserving robo-advisory system with the Black-Litterman portfolio model: A new framework and insights into investor behavior," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 89(C).
- Allen, D.E. & McAleer, M.J. & Powell, R.J. & Singh, A.K., 2015.
"Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC,"
Econometric Institute Research Papers
EI2015-32, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David E. Allen & Michael McAleer & Robert J. Powell & Abbay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 15-122/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2015. "Down-side Risk Metrics as Portfolio Diversification Strategies across the GFC," Documentos de Trabajo del ICAE 2015-19, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Thomas J. Brennan & Andrew W. Lo, 2010.
"Impossible Frontiers,"
Management Science, INFORMS, vol. 56(6), pages 905-923, June.
- Thomas J. Brennan & Andrew W. Lo, 2008. "Impossible Frontiers," NBER Working Papers 14525, National Bureau of Economic Research, Inc.
- Ko, Hyungjin & Son, Bumho & Lee, Jaewook, 2024. "A novel integration of the Fama–French and Black–Litterman models to enhance portfolio management," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 91(C).
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014.
"Hedge Fund Portfolio Diversification Strategies Across the GFC,"
Working Papers in Economics
14/27, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies Across the GFC," Documentos de Trabajo del ICAE 2014-32, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- David E. Allen & Michael McAleer & Shelton Peiris & Abhay K. Singh, 2014. "Hedge Fund Portfolio Diversification Strategies across the GFC," Tinbergen Institute Discussion Papers 14-151/III, Tinbergen Institute.
- Levy, Haim & Levy, Moshe, 2014. "The benefits of differential variance-based constraints in portfolio optimization," European Journal of Operational Research, Elsevier, vol. 234(2), pages 372-381.
- Francesco Lautizi, 2015. "Large Scale Covariance Estimates for Portfolio Selection," CEIS Research Paper 353, Tor Vergata University, CEIS, revised 07 Aug 2015.
- Peralta, Gustavo & Zareei, Abalfazl, 2016. "A network approach to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 157-180.
- Füss, Roland & Miebs, Felix & Trübenbach, Fabian, 2014. "A jackknife-type estimator for portfolio revision," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 14-28.
- Qi, Yue & Liao, Kezhi & Liu, Tongyang & Zhang, Yu, 2022. "Originating multiple-objective portfolio selection by counter-COVID measures and analytically instigating robust optimization by mean-parameterized nondominated paths," Operations Research Perspectives, Elsevier, vol. 9(C).
- Firoozye, Nikan & Tan, Vincent & Zohren, Stefan, 2023.
"Canonical portfolios: Optimal asset and signal combination,"
Journal of Banking & Finance, Elsevier, vol. 154(C).
- Nikan Firoozye & Vincent Tan & Stefan Zohren, 2022. "Canonical Portfolios: Optimal Asset and Signal Combination," Papers 2202.10817, arXiv.org, revised Jul 2023.
- Jing-Rung Yu & Wan-Jiun Paul Chiou & Jian-Hong Yang, 2017. "Diversification benefits of risk portfolio models: a case of Taiwan’s stock market," Review of Quantitative Finance and Accounting, Springer, vol. 48(2), pages 467-502, February.
- Alejandro Corvalán, 2005. "Well Diversified Efficient Portfolios," Working Papers Central Bank of Chile 336, Central Bank of Chile.
- Istvan Varga-Haszonits & Fabio Caccioli & Imre Kondor, 2016. "Replica approach to mean-variance portfolio optimization," Papers 1606.08679, arXiv.org.
- Simaan, Majeed & Simaan, Yusif & Tang, Yi, 2018. "Estimation error in mean returns and the mean-variance efficient frontier," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 109-124.
- Wang, Xiaoting & Hou, Siyuan & Kyaw, Khine & Xue, Xupeng & Liu, Xueqin, 2023. "Exploring the determinants of Fintech Credit: A comprehensive analysis," Economic Modelling, Elsevier, vol. 126(C).
- Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
- Ukhov, Andrey D., 2006. "Expanding the frontier one asset at a time," Finance Research Letters, Elsevier, vol. 3(3), pages 194-206, September.
- Harris, Richard D.F. & Stoja, Evarist & Tan, Linzhi, 2017.
"The dynamic Black–Litterman approach to asset allocation,"
European Journal of Operational Research, Elsevier, vol. 259(3), pages 1085-1096.
- Harris, Richard D F & Stoja, Evarist & Tan, Linzhi, 2016. "The dynamic Black-Litterman approach to asset allocation," Bank of England working papers 596, Bank of England.
- Xing, Xin & Hu, Jinjin & Yang, Yaning, 2014. "Robust minimum variance portfolio with L-infinity constraints," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 107-117.
More about this item
Keywords
Homomorphic encryption; Mean–variance portfolio; Robo-advisor; Privacy;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001678. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.