Optimal portfolios under a correlation constraint
Year of publication: |
March 2018
|
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Authors: | Bernard, Carole ; Cornilly, Dries ; Vanduffel, Steven |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 3, p. 333-345
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Subject: | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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