The opportunity cost of mean–variance choice under estimation risk
Year of publication: |
2014
|
---|---|
Authors: | Simaan, Yusif |
Published in: |
European Journal of Operational Research. - Elsevier, ISSN 0377-2217. - Vol. 234.2014, 2, p. 382-391
|
Publisher: |
Elsevier |
Subject: | Mean–variance choice | Estimation risk | Expected utility maximization | Opportunity cost of sub-optimal portfolios |
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