Statements (17)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:financial_technology
|
| gptkbp:application |
asset allocation
mean-variance optimization |
| gptkbp:citation |
Jagannathan, R., & Ma, T. (2003). Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps. Journal of Finance, 58(4), 1651-1684.
|
| gptkbp:contribution |
adjusts sample covariance matrix for portfolio constraints
|
| gptkbp:field |
finance
portfolio theory |
| gptkbp:introducedIn |
2003
|
| gptkbp:namedAfter |
gptkb:Ravi_Jagannathan
Tongshu Ma |
| gptkbp:publishedIn |
gptkb:Journal_of_Finance
|
| gptkbp:purpose |
portfolio optimization with constraints
|
| gptkbp:relatedTo |
gptkb:Markowitz_model
covariance matrix estimation |
| gptkbp:bfsParent |
gptkb:Ravi_Jagannathan
|
| gptkbp:bfsLayer |
7
|
| https://www.w3.org/2000/01/rdf-schema#label |
Jagannathan–Ma model
|