Superiority of optimized portfolios to naive diversification : fact or fiction?
Year of publication: |
August 2017
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Authors: | Zakamulin, Valeriy |
Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 22.2017, p. 122-128
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Subject: | Low-volatility anomaly | Portfolio optimization | Naive diversification | Out-of-sample simulations | Risk-based explanation | Theorie | Theory | Portfolio-Management | Portfolio selection | Simulation | Diversifikation | Diversification | Mathematische Optimierung | Mathematical programming |
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