Portfolio Optimization Using a Block Structure for the Covariance Matrix

Material TypeArticleLanguageEnglish
TitlePortfolio Optimization Using a Block Structure for the Covariance Matrix Author(S)David Disatnik (Author)
Abstract  Implementing in practice the classical mean-variance theory for portfolio selection often results in obtaining portfolios with large short sale positions. Also, recent papers show that, due to estimation errors, existing and rather advanced mean-variance theory-based portfolio strategies do not consistently outperform the naïve 1/N portfolio that invests equally across N risky assets. In this paper, we introduce a portfolio strategy that generates a portfolio, ...Paginationp806–843
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Business Finance & Accounting  
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