An asymptotic analysis of the mean-variance portfolio selection
Work
Year: 2007
Type: article
Abstract: This paper gives an asymptotic analysis of the mean-variance (Markowitz-type) portfolio selection under mild assumptions on the market behavior. Theoretical results show the rate of underperformance o... more
Source: Statistics & Decisions
Authors György Ottucsák, István Vajda
Cites: 23
Cited by: 17
Related to: 10
FWCI: 0.929
Citation percentile (by year/subfield): 82.27
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: green