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Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical for meeting investment objectives. Mean–variance analysis (Markowitz 1952, 1959) wa... Click to show full abstract
Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical for meeting investment objectives. Mean–variance analysis (Markowitz 1952, 1959) wa...
Keywords:
penalizing variances;
variances higher;
dependency factors;
finance;
higher dependency
Journal Title: Quantitative Finance
Year Published: 2017
Link to full text (if available)
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Journal Title: Quantitative Finance
Year Published: 2017
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!