Mean–variance versus full-scale optimisation: In and out of sample
- 20 December 2006
- journal article
- Published by Springer Science and Business Media LLC in Journal of Asset Management
- Vol. 7 (5), 302-311
- https://doi.org/10.1057/palgrave.jam.2250042
Abstract
No abstract availableThis publication has 9 references indexed in Scilit:
- Optimal Hedge Fund AllocationsThe Journal of Portfolio Management, 2005
- Risk-Adjusted Performance of Funds of Hedge Funds Using a Modified Sharpe RatioThe Journal of Wealth Management, 2003
- Asymmetric Returns and Optimal Hedge Fund PortfoliosThe Journal of Alternative Investments, 2003
- An Excursion into the Statistical Properties of Hedge Fund ReturnsSSRN Electronic Journal, 2002
- Risk Management for Hedge Funds: Introduction and OverviewCFA Magazine, 2001
- Performance Characteristics of Hedge Funds and Commodity Funds: Natural vs. Spurious BiasesJournal of Financial and Quantitative Analysis, 2000
- Portfolio Optimization in PracticeCFA Magazine, 1992
- Estimation for Markowitz Efficient PortfoliosJournal of the American Statistical Association, 1980
- Prospect Theory: An Analysis of Decision under RiskEconometrica, 1979