On the Markowitz mean-variance analysis of self-financing portfolios

Risk and Decision Analysis

Volumn 1, Issue 1, 2009, Pages 35-42

  Bai, Zhidong ^a   Liu, Huixia ^b   Wong, Wing Keung ^c  

^a NORTHEAST NORMAL UNIVERSITY   (China)

^b NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^c HONG KONG BAPTIST UNIVERSITY   (Hong Kong)

Author keywords

bootstrap method; large random matrix; mean variance optimization; Optimal portfolio allocation; self financing portfolio

Indexed keywords

EID: 69749092567     PISSN: 15697371     EISSN: 18759173     Source Type: Journal    
DOI: 10.3233/RDA-2008-0004     Document Type: Article

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