Inverse portfolio optimisation under constraints
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DOI: 10.1057/jam.2008.20
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References listed on IDEAS
- Sharpe, William F., 1974. "Imputing Expected Security Returns from Portfolio Composition," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 9(3), pages 463-472, June.
- S Satchell & A Scowcroft, 2000. "A demystification of the Black–Litterman model: Managing quantitative and traditional portfolio construction," Journal of Asset Management, Palgrave Macmillan, vol. 1(2), pages 138-150, September.
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Cited by:
- Hirschberger, Markus & Steuer, Ralph E. & Utz, Sebastian & Wimmer, Maximilian, 2012. "Is socially responsible investing just screening? Evidence from mutual funds," SFB 649 Discussion Papers 2012-025, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
- repec:hum:wpaper:sfb649dp2012-025 is not listed on IDEAS
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Keywords
portfolio optimisation; inverse optimisation; constrained optimisation; implied views;All these keywords.
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