Portfolio Selection in a Noisy Environment Using Absolute Deviation as a Risk Measure
暂无分享,去创建一个
[1] Imre Kondor,et al. Estimated correlation matrices and portfolio optimization , 2003, cond-mat/0305475.
[2] I. Kondor,et al. Noisy Covariance Matrices and Portfolio Optimization II , 2002, cond-mat/0205119.
[3] I. Kondor,et al. Noisy covariance matrices and portfolio optimization , 2001, cond-mat/0111503.
[4] D. Rosen,et al. The Practice of Portfolio Replication 1 , 2000 .
[5] Yusif Simaan. Estimation risk in portfolio selection: the mean variance model versus the mean absolute deviation model , 1997 .
[6] H. Konno,et al. Mean-absolute deviation portfolio optimization model and its applications to Tokyo stock market , 1991 .
[7] Peter A. Frost,et al. An Empirical Bayes Approach to Efficient Portfolio Selection , 1986, Journal of Financial and Quantitative Analysis.
[8] Bruce G. Resnick,et al. Estimating the Correlation Structure of International Share Prices , 1984 .
[9] E. Elton. Modern portfolio theory and investment analysis , 1981 .
[10] E. Elton,et al. ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION , 1973 .
[11] A. Stuart,et al. Portfolio Selection: Efficient Diversification of Investments , 1959 .