1Markowitz H. Portfolio Selection[J]. Journal of Finance, 1952, 7(1).
2Michaud R O. The Markowitz Optimization Enigma: is "Optimized" op- timal?[J]. Financial Analysts Journal, 1989.
3Muller P. Empirical Tests of Biases in Equity Portfolio Optimization [M]. Cambridge, UK: Cambridge University Press, 1993.
4Shepard P G. Second Order Risk[J]. ArXiv Preprint ArXiv:0908.2455, 2009.
5Menchero J, Wang J, Orr D J. Eigen-Adjusted Covariance Matrices [J]. MSCI Research Insight, 2011.
6Grinold R C, Kahn R N. Active Portfolio Management[M]. New York, USA: McGraw Hill. 2000,.
同被引文献5
1SharpeW F. Capital Asset Prices: A Theory of Market EquilibriumUnder Conditions of Risk[J]. Journal of Finance, 1964,19(3).
2LintnerJ. The Valuation of Risk Assets and the Selection of Risky In-vestments in Stock Portfolios and Capital Budgets [J]. Review of Eco-nomics & Statistics, 1965, 1(47).
3RosenbergB. Extra-Market Components of Covariance in SecurityRetums[J]. The Journal of Financial and Quantitative Analysis, 1974,9(2).
4FanJ,Fan Y, Lv J. High Dimensional Covariance Matrix EstimationUsing a Factor Model[J]. Journal of Econometrics, 2008, 147(1).
5GrinoldR C, Kahn R N. Active Portfolio ManagementfM]. New York:McGraw Hill, 2000.