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Stable portfolio selection.

Publication: Operations Research
Publication Date: 01-MAY-09
Format: Online
Delivery: Immediate Online Access

Article Excerpt
It is well known that, due to estimation error, mean-variance portfolios perform poorly. One of the reasons for this is that the mean-variance portfolios computed using the traditional sample estimators tend to have extreme portfolio weights that fluctuate substantially over time. To address this issue, in "Portfolio Selection with...

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