165 citations
- Stockholm UniversitySE8 papers
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Showing 2019Show all
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q-fin.PM2019
An approximate solution for the power utility optimization under predictable returns
Dmytro Ivasiuk
This work derives an approximate analytical single period solution of the portfolio choice problem for the power utility function. It is possible to do so if we consider that the a…
q-fin.PM2019
Cross-validated covariance estimators for high-dimensional minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
The global minimum-variance portfolio is a typical choice for investors because of its simplicity and broad applicability. Although it requires only one input, namely the covarianc…