For Better Performance: Constrain Portfolio Weights Differentially and Globally

By Moshe Levy, Haim Levy. 2014

67 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/68ea11549c0259f4c2c9945ff426433731045084

Citations in the corpus

• Multi-asset portfolio optimization and out-of-sample performance: an evaluation of Black–Litterman, mean-variance, and naïve diversification approaches (2017, unknown): “These suggestions range from imposing portfolio constraints (Frost and Savarino 1988; Jagannathan and Ma 2003; Behr, Guettler, and Miebs 2013) to the use of factor models (Chan, Karceski, and Lakonishok 1999), and Bayesian methods for estimating the MV input parameters (Jorion 1985, 1986; Pastor…”