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"Mean-variance efficient large portfolios: a simple machine learning ..."

Michele Costola et al. (2024)

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DOI: 10.1007/S10479-022-04881-3

access: closed

type: Journal Article

metadata version: 2024-04-27

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Michele Costola, Bertrand Maillet, Zhining Yuan, Xiang Zhang:
Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem. Ann. Oper. Res. 334(1): 133-155 (2024)

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