期刊
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
卷 234, 期 2, 页码 356-371出版社
ELSEVIER
DOI: 10.1016/j.ejor.2013.10.060
关键词
Black-Litterman; Estimation errors; Mean-variance optimization; Multi-period optimization; Portfolio constraints; Portfolio optimization
The concepts of portfolio optimization and diversification have been instrumental in the development and understanding of financial markets and financial decision making. In light of the 60 year anniversary of Harry Markowitz's paper Portfolio Selection, we review some of the approaches developed to address the challenges encountered when using portfolio optimization in practice, including the inclusion of transaction costs, portfolio management constraints, and the sensitivity to the estimates of expected returns and covariances. In addition, we selectively highlight some of the new trends and developments in the area such as diversification methods, risk-parity portfolios, the mixing of different sources of alpha, and practical multi-period portfolio optimization. (C) 2013 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据