Understanding the Impact of Weights Constraints in Portfolio Theory
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- repec:dau:papers:123456789/4688 is not listed on IDEAS
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Cited by:
- Bruder, Benjamin & Hereil, Pierre & Roncalli, Thierry, 2011. "Managing sovereign credit risk in bond portfolios," MPRA Paper 36673, University Library of Munich, Germany.
- Bruder, Benjamin & Roncalli, Thierry, 2012. "Managing risk exposures using the risk budgeting approach," MPRA Paper 37246, University Library of Munich, Germany.
- Giovanni Bonaccolto & Sandra Paterlini, 2020. "Developing new portfolio strategies by aggregation," Annals of Operations Research, Springer, vol. 292(2), pages 933-971, September.
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More about this item
Keywords
global minimum variance portfolio; Markowitz optimization; tangency portfolio; Lagrange coefficients; shrinkage methods; covariance matrix;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
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