Multi-period portfolio optimization: translation of autocorrelation risk to excess variance (Q1709972)
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scientific article
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| English | Multi-period portfolio optimization: translation of autocorrelation risk to excess variance |
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Multi-period portfolio optimization: translation of autocorrelation risk to excess variance (English)
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15 January 2019
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portfolio optimization
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semidefinite programming
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second-order cone programming
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robust optimization
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0.8873907
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0.87787753
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0.8719378
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0.8697989
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0.8688833
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0.8657353
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0.8653239
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