Approximating exact expected utility via portfolio efficient frontiers
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/article/10.1007/s10203-017-0201-0/fulltext.html
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3. Bruni, R., Cesarone, F., Scozzari, A., Tardella, F.: A linear risk-return model for enhanced indexation in portfolio optimization. OR Spectr. 37(3), 735–759 (2015)
4. Bruni, R., Cesarone, F., Scozzari, A., Tardella, F.: On exact and approximate stochastic dominance strategies for portfolio selection. Eur. J. Oper. Res. 259(1), 322–329 (2017)
5. Cesarone, F., Scozzari, A., Tardella, F.: A new method for mean-variance portfolio optimization with cardinality constraints. Ann. Oper. Res. 205(1), 213–234 (2013)
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