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Li, 2015 - Google Patents

Sparse and stable portfolio selection with parameter uncertainty

Li, 2015

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Document ID
5698679878053218743
Author
Li J
Publication year
Publication venue
Journal of Business & Economic Statistics

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Snippet

A number of alternative mean-variance portfolio strategies have been recently proposed to improve the empirical performance of the classic Markowitz mean-variance framework. Designed as remedies for parameter uncertainty and estimation errors in portfolio selection …
Continue reading at papers.ssrn.com (PDF) (other versions)

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