Mean–variance portfolio optimization with parameter sensitivity control

The mean–variance (MV) portfolio selection model, which aims to maximize the expected return while minimizing the risk measured by the variance, has been studied extensively in the literature and regarded as a powerful guiding principle in investment practice. Recognizing the importance to reduce th...

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Bibliographic Details
Main Authors: Cui, X., Zhu, S., Li, D., Sun, Jie
Format: Journal Article
Published: Taylor & Francis 2016
Online Access:http://hdl.handle.net/20.500.11937/46526