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Epsilon-dominating solutions in mean-variance portfolio analysis

โœ Scribed by D.J. White

Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
470 KB
Volume
105
Category
Article
ISSN
0377-2217

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โœฆ Synopsis

In this paper the problem of finding the efficient set of portfolios, in a general constraint set, is replaced by finding a set of epsilon-dominating portfolios, the number of which is determined by the size of epsilon. Algorithms, and associated theory are given, together with some possible modifications. 9 1998 Elsevier Science B.V.

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