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Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it

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dc.contributor.authorMynbayeva, Elmira
dc.contributor.authorLamb, John D.
dc.contributor.authorZhao, Yuan
dc.contributor.institutionUniversity of Aberdeen.Business Schoolen
dc.contributor.institutionUniversity of Aberdeen.Business Managementen
dc.contributor.institutionUniversity of Aberdeen.Financeen
dc.date.accessioned2024-04-11T23:16:14Z
dc.date.available2024-04-11T23:16:14Z
dc.date.embargoedUntil2024-04-12
dc.date.issued2022-09-01
dc.description.statusPeer revieweden
dc.format.extent14
dc.format.extent820473
dc.identifier208803636
dc.identifier845ad428-8bb9-4024-85da-020f4208dc64
dc.identifier85121457781
dc.identifier000793723100021
dc.identifier.citationMynbayeva, E, Lamb, J D & Zhao, Y 2022, 'Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it', European Journal of Operational Research, vol. 301, no. 2, pp. 694-707. https://doi.org/10.1016/j.ejor.2021.11.036en
dc.identifier.doi10.1016/j.ejor.2021.11.036
dc.identifier.iss2en
dc.identifier.issn0377-2217
dc.identifier.otherORCID: /0000-0002-5849-7772/work/118987023
dc.identifier.urihttps://hdl.handle.net/2164/23228
dc.identifier.vol301en
dc.language.isoeng
dc.relation.ispartofEuropean Journal of Operational Researchen
dc.subjectPortfolio optimisationen
dc.subjectMultivariate statisticsen
dc.subjectHomogeneous subsetsen
dc.subjectEstimation risken
dc.subjectBootstrap aggregationen
dc.subjectHD28 Management. Industrial Managementen
dc.subjectHG Financeen
dc.subject.lccHD28en
dc.subject.lccHGen
dc.titleWhy estimation alone causes Markowitz portfolio selection to fail and what we might do about iten
dc.typeJournal articleen

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