Performance Analysis and Optimal Selection of Large Minimum Variance Portfolios Under Estimation Risk
نویسندگان
چکیده
منابع مشابه
Robustness of optimal portfolios under risk and stochastic dominance constraints
Article history: Available online xxxx
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1 Interventional Centre, Oslo University Hospital and Interventional Centre, Institute of Clinical Medicine, University of Oslo, Sognsvannsveien 20, 0027 Oslo, Norway 2Forsvarets forskningsinstitutt, Postboks 25, 2027 Kjeller, Norway 3Department of Geosciences, University of Oslo, P.O. Box 1047 Blindern, 0316 Oslo, Norway 4Department of Electronics and Telecommunications, Norwegian University o...
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ژورنال
عنوان ژورنال: IEEE Journal of Selected Topics in Signal Processing
سال: 2012
ISSN: 1932-4553,1941-0484
DOI: 10.1109/jstsp.2012.2202634