Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return
Author:
Publisher
Elsevier BV
Subject
Finance,Business, Management and Accounting (miscellaneous)
Reference17 articles.
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4. High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation;El Karoui;Ann. Stat.,2010
5. Portfolio selection: an alternative approach;Hatemi-J;Econ. Lett.,2015
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