Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - Federal Reserve Bank of St. Louis - 2007
Mean-Variance vs. Full-Scale Optimization:
Broad Evidence for the UK
Björn Hagströmer
Richard G. Anderson
Jane M … material) should be
cleared with the author or authors.
Mean-Variance vs. Full-Scale Optimization:
Broad Evidence for the UK … the maximum
is found through numerical optimization.
Using a portfolio choice setting of three UK equity indices we …