Enhancement of the applicability of markowitz's portfolio optimization by utilizing random matrix theory

Mathematical Finance

Volumn 19, Issue 4, 2009, Pages 639-667

  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

Indexed keywords

EID: 72449189786     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2009.00383.x     Document Type: Article

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