This preview shows page 1. Sign up to view the full content.
Unformatted text preview: Robust Solutions to Least-Squares Problems with Uncertain Data," SIAM
Journal on Matrix Analysis and Applications 18(4): 1035-1064
Frank J. Fabozzi, Sergio M. Focardi and Petter N. Kolm (2006). Financial Modeling of the Equity Market: From Capm to
Cointegration. Hoboken, New Jersey, John Wiley & Sons, Inc.
Pa Frost and Je Savarino (1988), "For Better Performance: Constrain Portfolio Weights," Journal of portfolio
management 15(1): 29-34 RISK AND PORTFOLIO MANAGEMENT WITH ECONOMETRICS, VER. 11/11/2012. © P. KOLM. 27 Rr Grauer and Fc Shen (2000), "Do Constraints Improve Portfolio Performance," Journal of Banking and Finance 24(8):
Rc Green and B Hollifield (1992), "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of
F Gupta and D Eichhorn (1998), "Mean-Variance Optimization for Practitioners of Asset Allocation," Handbook of
Portfolio Management, Frank J. Fabozzi Associates, New Hope, Pennsylvania
J Horst, F Roon and Bas Werker (2000), "Incorporating Estimation Risk in Optimal Portfolios," Working Paper Tilburg
R Jagannathan and T Ma (2003), "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance: 1651-1683
Jd Jobson and B Korkie (1981), "Putting Markowitz Theory to Work," Journal of portfolio management 7(4): 70–74
P Jorion (1985), "International Portfolio Diversification wi...
View Full Document
This document was uploaded on 02/17/2014 for the course COURANT G63.2751.0 at NYU.
- Fall '14