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Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection

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  • Vincent Guigues

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  • Vincent Guigues, 2011. "Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection," Computational Optimization and Applications, Springer, vol. 48(3), pages 553-579, April.
  • Handle: RePEc:spr:coopap:v:48:y:2011:i:3:p:553-579
    DOI: 10.1007/s10589-009-9260-7
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    References listed on IDEAS

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    1. Best, Michael J & Grauer, Robert R, 1991. "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," The Review of Financial Studies, Society for Financial Studies, vol. 4(2), pages 315-342.
    2. Ledoit, Olivier & Wolf, Michael, 2003. "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 603-621, December.
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    Cited by:

    1. Korotkov, Vladimir & Wu, Desheng, 2021. "Benchmarking project portfolios using optimality thresholds," Omega, Elsevier, vol. 99(C).
    2. Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.

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