Performance of Portfolios Optimized with Estimation Error
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Publication:3116117
DOI10.1287/mnsc.1060.0664zbMath1232.91636OpenAlexW2149868235MaRDI QIDQ3116117
Artemiza Woodgate, Andrew F. Siegel
Publication date: 21 February 2012
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/358d6888e077f14f7df4a7ee54d8484e9c827dd7
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
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