215
Views
0
CrossRef citations to date
0
Altmetric
Research Papers

Stochastic regularization for the mean-variance allocation scheme

Pages 1097-1120 | Received 09 Nov 2017, Accepted 14 Dec 2018, Published online: 12 Feb 2019

References

  • Brodie, J., Daubechies, I., De Mol, C., Giannone, D. and Loris, I., Sparse and stable Markowitz portfolios. Proc. Natl. Acad. Sci., 2009, 106(30), 12267–12272. doi: 10.1073/pnas.0904287106
  • Chopra, V.K. and Ziemba, W.T., The effect of errors in means, variances, and covariances on optimal portfolio choice. J. Portfolio Manag., 1993, 19(2), 6–11. doi: 10.3905/jpm.1993.409440
  • Dacorogna, M.M., Müller, U.A., Olsen, R.B. and Pictet, O.V., Modelling short-term volatility with GARCH and HARCH models. In Nonlinear Modelling of High Frequency Financial Time Series, edited by C. Dunis and B. Zhou, pp. 161–176, 1998 (John Wiley: Chichester).
  • Engle, R.F., Autoregressive conditional Heteroskedasticity with estimates of the variance of U. K. inflation. Econometrica, 1982, 50, 987–1008. doi: 10.2307/1912773
  • Engle, R.F. and Bollerslev, T., Modelling the persistence of conditional variances. Econom. Rev., 1986, 5, 1–50. doi: 10.1080/07474938608800095
  • Ledoit, O. and Wolf, M., Honey, I shrunk the sample covariance matrix. J. Portfolio Manag., 2004a, 4(30), 110–119. doi: 10.3905/jpm.2004.110
  • Ledoit, O. and Wolf, M., Improved estimation of the covariance matrix of stock returns with an application to portfolio selection. J. Empir. Finance, 2004b, 10, 603–621. doi: 10.1016/S0927-5398(03)00007-0
  • Maillard, S., Roncalli, T. and Teiletche, J., On the properties of equally-weighted risk contributions portfolios. J. Portfolio Manag., 2010, 36(4), 60–70. doi: 10.3905/jpm.2010.36.4.060
  • Markowitz, H., Portfolio selection. J. Finance., 1952, 7(1), 77–91.
  • Michaud, R., The markowitz optimization enigma: Is optimization optimal?. Financial Anal. J., 1989, 45(1), 31–42. doi: 10.2469/faj.v45.n1.31
  • Müller, U.A., Dacorogna, M.M., Davé, R.D., Olsen, R.B., Pictet, O.V. and von Weizsäcker, J.E., Volatilities of different time resolutions – Analyzing the dynamics of market components. J. Empir. Finance, 1997, 4(2–3), 213–239. doi: 10.1016/S0927-5398(97)00007-8
  • Potters, M., Bouchaud, J.-P. and Laloux, L., Financial applications of random matrix theory: Old Laces and new pieces. Acta Phys. Pol., 2005, B36, 2767.
  • Roncalli, T., Introduction to Risk Parity and Budgeting, 2013 (Chapman and Hall/CRC Financial Mathematics Series: Boca Raton, FL).
  • Zumbach, G., Volatility processes and volatility forecast with long memory. Quant. Finance, 2004, 4, 70–86.
  • Zumbach, G., The RiskMetrics 2006 methodology. Technical report, RiskMetrics Group. Available online at: www.ssrn.com, 2006.
  • Zumbach, G., Characterizing heteroskedasticity. Quant. Finance, 2011, 11, 1357–1369. doi: 10.1080/14697688.2010.535555
  • Zumbach, G., Discrete Time Series, Processes, and Applications in Finance, 2012 (Springer: Heidelberg).
  • Zumbach, G., Cross-sectional universalities in financial time series. Quant. Finance, 2015, 15(12), 1901–1912. doi: 10.1080/14697688.2015.1060353

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.