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Fan et al., 2008 - Google Patents

Asset allocation and risk assessment with gross exposure constraints for vast portfolios

Fan et al., 2008

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Document ID
4647057754931234028
Author
Fan J
Zhang J
Yu K
Publication year
Publication venue
arXiv preprint arXiv:0812.2604

External Links

Snippet

Markowitz (1952, 1959) laid down the ground-breaking work on the mean-variance analysis. Under his framework, the theoretical optimal allocation vector can be very different from the estimated one for large portfolios due to the intrinsic difficulty of estimating a vast covariance …
Continue reading at arxiv.org (PDF) (other versions)

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    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation, credit approval, mortgages, home banking or on-line banking
    • G06Q40/025—Credit processing or loan processing, e.g. risk analysis for mortgages
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