Efficient estimation for Markowitz's portfolio optimization by using random matrix theory

In this thesis, we first prove that under some situations the traditional (plug-in) return for the MV optimization is square of gamma times bigger than the theoretical optimal return, while under situations, the plug-in return is bigger than but may not be same times larger than its theoretic value with gamma......

Author dc:creator

• LI HUA

• Markowitz mean-variance optimization, optimal return, optimal portfolio allocation