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...
| Main Authors: | , , , |
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| Format: | Journal Article |
| Published: |
Taylor & Francis
2016
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| Online Access: | http://hdl.handle.net/20.500.11937/46526 |