Mean–variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem
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DOI: 10.1007/s10479-022-04881-3
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- Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem," Post-Print hal-04514343, HAL.
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Keywords
Mean–variance efficient portfolios; Two-fund separation theorem; Machine learning; Robust portfolios; High-dimensional portfolios;All these keywords.
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