Sökning: "optimization enigma"

Hittade 1 uppsats innehållade orden optimization enigma.

  1. 1. Mean-Variance Portfolio Optimization : Challenging the role of traditional covariance estimation

    Master-uppsats, KTH/Industriell Marknadsföring och Entreprenörskap

    Författare :ZAKARIA MARAKBI; [2016]
    Nyckelord :portfolio allocation; mean-variance optimization; efficient frontier; covariance ma- trix; estimation error; optimization enigma; random matrix theory; shrinking; robust statistics;

    Sammanfattning : Ever since its introduction in 1952, the Mean-Variance (MV) portfolio selection theory has remained a centerpiece within the realm of e_cient asset allocation. However, in scienti_c circles, the theory has stirred controversy. LÄS MER