Portfolio optimization when expected stock returns are determined by exposure to risk
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Publication:605869
DOI10.3150/08-BEJ163zbMath1200.91284arXiv0906.2271OpenAlexW3106033008MaRDI QIDQ605869
Publication date: 15 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0906.2271
ranksBlack-Scholes modelportfolio optimization\(1/n\) strategyexpected stock returnsMarkowitz' problem
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