Limiting out-of-sample performance of optimal unconstrained portfolios
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DOI: 10.1016/j.frl.2024.105886
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More about this item
Keywords
Portfolio optimization; Estimation risk; Out-of-sample Sharpe ratio; Global minimum-variance portfolio; Hedge portfolio;All these keywords.
JEL classification:
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
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