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Incorporating estimation risk and trading constraints in portfolio optimization.

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

Article Excerpt
Two of the well-documented limitations of the Markowitz asset selection model are that it does not consider the uncertainty in the estimation of assets returns and a number of real-life trading restrictions. In "An Exact Solution Approach for Portfolio Optimization Problems Under Stochastic and Integer Constraints," P. Bonami and...

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