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The professional management of an investment portfolio of various securities (shares, bonds and other securities) in order to meet specified investment goals. The process includes the specification of investment objectives and constraints, choice of asset mix, formulation of portfolio strategy, selection of securities, execution, revision, and evaluation.

2 votes
1 answer
259 views

shrinking covariance matrix for assets coming from different asset class

From this paper: Ledoit, Olivier, and Michael Wolf. "Honey, I shrunk the sample covariance matrix." (2003). I learned a way of shrinking the covariance matrix to get more robust portfolio optimizatio …
  • 217
1 vote
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163 views

state of the art portfolio optimization techniques

In my recent exploration, I came across this paper on robust portfolio optimization that seems to work well with out of sample situations: Robust portfolio selection problems, by D. Goldfarb G.Iyenga …
  • 217