A Mean-Variance Analysis of Self-Financing Portfolios
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DOI: 10.1287/mnsc.48.3.427.7725
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References listed on IDEAS
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Citations
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Cited by:
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- Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2013.
"On the equivalence of quadratic optimization problems commonly used in portfolio theory,"
European Journal of Operational Research, Elsevier, vol. 229(3), pages 637-644.
- Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
- Fang, Shuhong, 2007. "A Mean–variance analysis of arbitrage portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 375(2), pages 625-632.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018.
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- Chia-Lin Chang & Michael McALeer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Tinbergen Institute Discussion Papers 18-011/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Econometric Institute Research Papers EI2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Wing-Keung Wong & Michael McAleer, 2018. "Big data, computational science, economics, finance, marketing, management, and psychology: connections," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Yan Liu & Ngai Hang Chan & Chi Tim Ng & Samuel Po Shing Wong, 2016. "Shrinkage Estimation Of Mean-Variance Portfolio," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(01), pages 1-25, February.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, And Big Data: Connections," Advances in Decision Sciences, Asia University, Taiwan, vol. 22(1), pages 36-94, December.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016.
"Management Science, Economics and Finance: A Connection,"
Tinbergen Institute Discussion Papers
16-040/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2016. "Management Science, Economics and Finance: A Connection," Econometric Institute Research Papers EI2016-26, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2016. "Management science, economics and finance: A connection," Documentos de Trabajo del ICAE 2016-07, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Li, Hua & Bai, Zhidong & Wong, Wing-Keung & McAleer, Michael, 2022.
"Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization,"
Econometrics and Statistics, Elsevier, vol. 24(C), pages 133-150.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-corrected estimation for high-dimensional markowitz mean-variance optimization," Documentos de Trabajo del ICAE 2017-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Bai, Z. & Li, H. & McAleer, M.J. & Wong, W.-K., 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Econometric Institute Research Papers EI2016-20, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Zhidong Bai & Hua Li & Michael McAleer & Wing-Keung Wong, 2016. "Spectrally-Corrected Estimation for High-Dimensional Markowitz Mean-Variance Optimization," Tinbergen Institute Discussion Papers 16-025/III, Tinbergen Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018.
"Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections,"
Econometric Institute Research Papers
18-024/III, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Tinbergen Institute Discussion Papers 18-024/III, Tinbergen Institute.
- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018. "Decision Sciences, Economics, Finance, Business, Computing, and Big Data: Connections," Documentos de Trabajo del ICAE 2018-09, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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- Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
- Bai, Zhidong & Li, Hua & Wong, Wing-Keung, 2013. "The best estimation for high-dimensional Markowitz mean-variance optimization," MPRA Paper 43862, University Library of Munich, Germany.
- Joel M. Vanden, 2021. "Equilibrium asset pricing and the cross section of expected returns," Annals of Finance, Springer, vol. 17(2), pages 153-186, June.
- H. J. Turtle & Kainan Wang, 2017. "The Value In Fundamental Accounting Information," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 40(1), pages 113-140, March.
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- Chia-Lin Chang & Michael McAleer & Wing-Keung Wong, 2018.
"Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections,"
Journal of Risk and Financial Management,
MDPI, Open Access Journal, vol. 11(1), pages 1-29, March.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Econometric Institute Research Papers EI2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chang, C-L. & McAleer, M.J. & Wong, W.-K., 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Econometric Institute Research Papers EI 2018-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Chia-Lin Chang & Michael McALeer & Wing-Keung Wong, 2018. "Big Data, Computational Science, Economics, Finance, Marketing, Management, and Psychology: Connections," Tinbergen Institute Discussion Papers 18-011/III, Tinbergen Institute.
- Chia-Lin Chang & Wing-Keung Wong & Michael McAleer, 2018. "Big data, computational science, economics, finance, marketing, management, and psychology: connections," Documentos de Trabajo del ICAE 2018-05, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
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Keywords
Investment opportunity set; Long/short portfolios; Spanning; Intersection;All these keywords.
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