论文信息 - Epsilon-dominating solutions in mean-variance portfolio analysis

Epsilon-dominating solutions in mean-variance portfolio analysis

Abstract In this paper the problem of finding the effcient set of portfolios, in a general constraint set, is replaced by finding a set of epsilon-dominating protfolios, the number of which is determined by the size of epsilon. Algorithms, and associated theory are given, together with some possible modifications.

D. J. White | D. White

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