A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (Q3560104)
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scientific article; zbMATH DE number 5709694
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| English | A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT |
scientific article; zbMATH DE number 5709694 |
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A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A TURNOVER CONSTRAINT (English)
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19 May 2010
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maximal predictability portfolio
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factor model
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nonconvex minimization problem
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absolute deviation
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\(0-1\) integer programming
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turnover constraint
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transaction cost
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0.91066885
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0.9071677
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0.8878612
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0.87889445
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0.8558928
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0.8554845
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0.8550756
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0.85188675
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0.8517581
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