Linear portfolio weights

Simple heuristics for large portfolio choice in small samples are proposed. The loss of efficiency from true optimum is observed by simulation. The performance of chosen portfolios is reasonable when true arbitrage opportunities and good deals are absent.

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Year of publication:	2006-05-05
Authors:	Barone-Adesi, Giovanni
Institutions:	Institut für Schweizerisches Bankwesen <Zürich>
Subject:	Portfoliomanagement \| portfolio management

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Extent:	62464 bytes 8 p. application/pdf
Series:	Institut für Schweizerisches Bankwesen Zürich - Working Paper Series Working Paper ; 312 (2006)
Type of publication:	Book / Working Paper
Language:	English
Classification:	Employment of capital, capital investment planning and estimate of investment profitability ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005858389