Maximizing excess return per unit variance : a novel investment management objective
Year of publication: |
December 2016
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Authors: | Glabadanidis, Paskalis |
Published in: |
The journal of asset management. - Basingstoke : Palgrave Macmillan, ISSN 1470-8272, ZDB-ID 2209717-X. - Vol. 17.2016, 7, p. 486-501
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Subject: | risk premia | tracking error | active return | tangent portfolio weights | minimum variance portfolio weights | factor models of expected returns | Theorie | Theory | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | CAPM | Risikoprämie | Risk premium | Varianzanalyse | Analysis of variance | Prognoseverfahren | Forecasting model | Schätzung | Estimation |
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