Performance analysis and optimal selection of large mean-variance portfolios under estimation risk

Francisco Rubio Xavier Mestre Daniel P. Palomar

Published in: CoRR (2011)

Keyphrases

optimal selection
portfolio optimization
portfolio selection
portfolio management
investment strategies
risk management
factor analysis
investment decisions
decision making
risk assessment
estimation algorithm
risk averse
bi objective
transaction costs
risk factors
markov chain
machine learning