Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function (Q1431697)
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scientific article; zbMATH DE number 2073483
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| English | Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function |
scientific article; zbMATH DE number 2073483 |
Statements
Single-period Markowitz portfolio selection, performance gauging, and duality: a variation on the Luenberger shortage function (English)
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11 June 2004
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Shortage function
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efficient frontier
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risk aversion
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mean-variance portfolios
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0.8170766830444336
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0.7770828008651733
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0.7760437726974487
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0.735745906829834
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0.7347630858421326
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