A direct test for the mean variance efficiency of a portfolio
Author:
Publisher
Elsevier BV
Subject
Applied Mathematics,Control and Optimization,Economics and Econometrics
Reference22 articles.
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2. On the sensitivity of mean-variance efficient portfolios to changes in asset means: some analytical and computational results;Best;Review of Financial Studies,1991
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4. Black, F., Litterman, R., 1990. Asset allocation: combining investor views with market equilibrium. Technical Report, Goldman Sachs Fixed Income Research.
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