A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- Author
- DEMIGUEL, Victor1 ; GARLAPPI, Lorenzo2 ; NOGALES, Francisco J3 ; UPPAL, Raman1
[1] London Business School, London NW1 4SA, United Kingdom
[2] McCombs School of Business, University of Texas at Austin, Austin, Texas 78712, United States
[3] Universidad Carlos III de Madrid, 28911 Leganes, Madrid, Spain - Source
Management science. 2009, Vol 55, Num 5, pp 798-812, 15 p ; ref : 1 p
- CODEN
- MSCIAM
- ISSN
- 0025-1909
- Scientific domain
- Control theory, operational research; Management economics
- Publisher
- Institute for Operations Research and the Management Sciences, Hanover, MD
- Publication country
- United States
- Document type
- Article
- Language
- English
- Author keyword
- covariance matrix estimation estimation error norm constraints portfolio choice shrinkage estimator
- Keyword (fr)
- Bourse valeurs Croyance Diversification Erreur estimation Estimation Bayes Estimation erreur Finance Gestion portefeuille Marché valeurs Matrice covariance Méthode empirique Rendement Rentabilité Retrait Sélection portefeuille Variance minimale
- Keyword (en)
- Stock exchange Belief Diversification Estimation error Bayes estimation Error estimation Finance Portfolio management Stock markets Covariance matrix Empirical method Yield Profitability Shrinkage Portfolio selection Minimal variance
- Keyword (es)
- Bolsa valores Creencia Diversificación Error estimación Estimación Bayes Estimación error Finanzas Gestión cartera Matriz covariancia Método empírico Rendimiento Rentabilidad Retiro Selección cartera Variancia mínima
- Classification
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A09 Risk theory. Actuarial science
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 21480095
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1287/mnsc.1080.0986 
https://dx.doi.org/10.1287/mnsc.1080.0986
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