Single Period Markowitz Portfolio Selection, Performance Gauging and Duality: A Variation on Luenberger’s Shortage Function
Year of publication: |
2002-04
|
---|---|
Authors: | Briec, Walter ; Kerstens, Kristiaan ; Lesourd, Jean Baptiste |
Institutions: | Departament d'Empresa, Facultat d'Economia i Empresa |
Subject: | shortage function | efficient frontier | risk aversion | mean-variance portfolios |
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