An analytic derivation of admissible efficient frontier with borrowing
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Publication:2383119
DOI10.1016/j.ejor.2006.09.058zbMath1146.91025OpenAlexW2073430114MaRDI QIDQ2383119
Publication date: 5 October 2007
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2006.09.058
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Cites Work
- On admissible efficient portfolio selection problem
- Portfolio analysis -- an analytic derivation of the efficient portfolio frontier
- The efficient frontier for bounded assets
- Portfolio selection based on fuzzy probabilities and possibility distributions
- A model for portfolio selection with order of expected returns.
- Large-Scale Portfolio Optimization
- A New and Efficient Algorithm for a Class of Portfolio Selection Problems
- SOLVING LARGE SCALE MEAN-VARIANCE MODELS WITH DENSE NON-FACTORABLE COVARIANCE MATRICES
- THE MEAN-VARIANCE APPROACH TO PORTFOLIO OPTIMIZATION SUBJECT TO TRANSACTION COSTS
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