[1] |
Markowitz H.Portfolio Selection:Efficient Diversification of Investment[M].New York:Wiley,1959.
|
[2] |
Pafka S, Kondor I. Noisy covariance matrices and portfolio optimization[J].The European Physical Journal B,2002,27(2): 277-280.
|
[3] |
Jorion P. Portfolio optimization in practice [J]. Financial Analysts, 1992, 48(1):68-74.
|
[4] |
Ledoit O, Wolf M. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection[J].Journal of Empirical Finance,2003,10(5):603-621.
|
[5] |
Markowitz H. Portfolio analysis with factors and scenarios [J]. Journal of Finance, 1981, 36(4): 871-877.
|
[6] |
Frost P A,Savarino J E.An empirical Bayes approach to efficient portfolio selection[J].Journal of Financial and Quantitative Analysis,1986,21(3):293-305.
|
[7] |
Jorion P. Bayesian and CAPM estimators of the means:Implications for portfolio selection[J]. Journal of Banking and Finance,1991,15(3): 717-727.
|
[8] |
Merton R C. Ananalytic derivation of the efficient portfolio frontier[J]. The Journal of Financial and Quantitative Analysis,1972,7(4):1 851-1 872.
|
[9] |
Laloux L,Cizeau P, Bouchaud J P, et al. Noise dressing of financial correlation matrices[J].Physical Review Letters,1999,83(7):1 467-1 470.
|
[10] |
Plerou V, Gopikrishnan P, Amaral L N, et al.Random matrix approach to cross correlations in financial data[J]. Physical Review E, 2002,65:066126.
|
[1] |
Markowitz H.Portfolio Selection:Efficient Diversification of Investment[M].New York:Wiley,1959.
|
[2] |
Pafka S, Kondor I. Noisy covariance matrices and portfolio optimization[J].The European Physical Journal B,2002,27(2): 277-280.
|
[3] |
Jorion P. Portfolio optimization in practice [J]. Financial Analysts, 1992, 48(1):68-74.
|
[4] |
Ledoit O, Wolf M. Improved estimation of the covariance matrix of stock returns with an application to portfolio selection[J].Journal of Empirical Finance,2003,10(5):603-621.
|
[5] |
Markowitz H. Portfolio analysis with factors and scenarios [J]. Journal of Finance, 1981, 36(4): 871-877.
|
[6] |
Frost P A,Savarino J E.An empirical Bayes approach to efficient portfolio selection[J].Journal of Financial and Quantitative Analysis,1986,21(3):293-305.
|
[7] |
Jorion P. Bayesian and CAPM estimators of the means:Implications for portfolio selection[J]. Journal of Banking and Finance,1991,15(3): 717-727.
|
[8] |
Merton R C. Ananalytic derivation of the efficient portfolio frontier[J]. The Journal of Financial and Quantitative Analysis,1972,7(4):1 851-1 872.
|
[9] |
Laloux L,Cizeau P, Bouchaud J P, et al. Noise dressing of financial correlation matrices[J].Physical Review Letters,1999,83(7):1 467-1 470.
|
[10] |
Plerou V, Gopikrishnan P, Amaral L N, et al.Random matrix approach to cross correlations in financial data[J]. Physical Review E, 2002,65:066126.
|