Please use this identifier to cite or link to this item: http://scholarbank.nus.edu.sg/handle/10635/37830
Title: Efficient estimation for Markowitz's portfolio optimization by using random matrix theory
Authors: LI HUA
Keywords: Markowitz mean-variance optimization, optimal return, optimal portfolio allocation
Issue Date: 1-Feb-2013
Source: LI HUA (2013-02-01). Efficient estimation for Markowitz's portfolio optimization by using random matrix theory. ScholarBank@NUS Repository.
Abstract: In this thesis, we first prove that under some situations the traditional (plug-in) return for the MV optimization is square of gamma times bigger than the theoretical optimal return, while under situations, the plug-in return is bigger than but may not be same times larger than its theoretic value with gamma......
URI: http://scholarbank.nus.edu.sg/handle/10635/37830
Appears in Collections:Ph.D Theses (Open)

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