Estimation of optimal portfolio compositions for Gaussian returns
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DOI: 10.1524/stnd.2008.0918
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- Andrew Kumiega & Thaddeus Neururer & Ben Van Vliet, 2014. "Trading system capability," Quantitative Finance, Taylor & Francis Journals, vol. 14(3), pages 383-392, March.
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Keywords
asset allocation; portfolio analysis; mean-variance portfolio; parameter uncertainty; portfolio characteristics;All these keywords.
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