Matches in SemOpenAlex for { <https://semopenalex.org/work/W2900698540> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W2900698540 abstract "The focus of this paper is on a portfolio rule that approaches the optimal Sharpe ratio in a large market with a realistic amount of historical data and a well-chosen subspace, named “subspaceP mean-variance analysis”. This portfolio rule carefully balances the tradeoff between the estimation error and the systematic error. A well-chosen subspace is the key extension on the paper of Chen and Yuan (2016). Also a mathematical comparison is given for the Markowitz (subspaceP) mean-variance portfolio with and without the constraint that the sum of the portfolio holdings sums up to one. Another comparison is made between the subspaces PΣ and PCorr, that are created with the eigenvectors of the covariance- or correlation matrix, by using the efficient frontier, the dimension of the subspaces and a comparison over different investment opportunities. To give the last comparison, a mathematical explanation needs to be given that an additional investment option could decrease the Sharpe ratio of the subspaceP mean-variance portfolio." @default.
- W2900698540 created "2018-11-29" @default.
- W2900698540 creator A5048003840 @default.
- W2900698540 date "2017-07-31" @default.
- W2900698540 modified "2023-09-27" @default.
- W2900698540 title "Efficient Portfolio Selection in a Large Market" @default.
- W2900698540 hasPublicationYear "2017" @default.
- W2900698540 type Work @default.
- W2900698540 sameAs 2900698540 @default.
- W2900698540 citedByCount "0" @default.
- W2900698540 crossrefType "journal-article" @default.
- W2900698540 hasAuthorship W2900698540A5048003840 @default.
- W2900698540 hasConcept C105795698 @default.
- W2900698540 hasConcept C106159729 @default.
- W2900698540 hasConcept C12362212 @default.
- W2900698540 hasConcept C139938925 @default.
- W2900698540 hasConcept C149782125 @default.
- W2900698540 hasConcept C162324750 @default.
- W2900698540 hasConcept C185142706 @default.
- W2900698540 hasConcept C202655437 @default.
- W2900698540 hasConcept C21099588 @default.
- W2900698540 hasConcept C2524010 @default.
- W2900698540 hasConcept C2780821815 @default.
- W2900698540 hasConcept C33923547 @default.
- W2900698540 hasConcept C51485801 @default.
- W2900698540 hasConcept C67051015 @default.
- W2900698540 hasConcept C9725762 @default.
- W2900698540 hasConceptScore W2900698540C105795698 @default.
- W2900698540 hasConceptScore W2900698540C106159729 @default.
- W2900698540 hasConceptScore W2900698540C12362212 @default.
- W2900698540 hasConceptScore W2900698540C139938925 @default.
- W2900698540 hasConceptScore W2900698540C149782125 @default.
- W2900698540 hasConceptScore W2900698540C162324750 @default.
- W2900698540 hasConceptScore W2900698540C185142706 @default.
- W2900698540 hasConceptScore W2900698540C202655437 @default.
- W2900698540 hasConceptScore W2900698540C21099588 @default.
- W2900698540 hasConceptScore W2900698540C2524010 @default.
- W2900698540 hasConceptScore W2900698540C2780821815 @default.
- W2900698540 hasConceptScore W2900698540C33923547 @default.
- W2900698540 hasConceptScore W2900698540C51485801 @default.
- W2900698540 hasConceptScore W2900698540C67051015 @default.
- W2900698540 hasConceptScore W2900698540C9725762 @default.
- W2900698540 hasLocation W29006985401 @default.
- W2900698540 hasOpenAccess W2900698540 @default.
- W2900698540 hasPrimaryLocation W29006985401 @default.
- W2900698540 hasRelatedWork W1186920584 @default.
- W2900698540 hasRelatedWork W122328775 @default.
- W2900698540 hasRelatedWork W1537468638 @default.
- W2900698540 hasRelatedWork W1972509769 @default.
- W2900698540 hasRelatedWork W2031160779 @default.
- W2900698540 hasRelatedWork W2081860531 @default.
- W2900698540 hasRelatedWork W2084554488 @default.
- W2900698540 hasRelatedWork W2103782370 @default.
- W2900698540 hasRelatedWork W2134337459 @default.
- W2900698540 hasRelatedWork W2186222510 @default.
- W2900698540 hasRelatedWork W2750652542 @default.
- W2900698540 hasRelatedWork W2790677027 @default.
- W2900698540 hasRelatedWork W2803073100 @default.
- W2900698540 hasRelatedWork W2803591656 @default.
- W2900698540 hasRelatedWork W3012263509 @default.
- W2900698540 hasRelatedWork W3023600880 @default.
- W2900698540 hasRelatedWork W3085274611 @default.
- W2900698540 hasRelatedWork W3123376322 @default.
- W2900698540 hasRelatedWork W3123734369 @default.
- W2900698540 hasRelatedWork W3165839674 @default.
- W2900698540 isParatext "false" @default.
- W2900698540 isRetracted "false" @default.
- W2900698540 magId "2900698540" @default.
- W2900698540 workType "article" @default.