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"This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard numerical approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its skewness...
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prices. Applications to value-at-risk and portfolio choice calculations illustrate the importance of using arbitrage …
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concerning foreign fundamentals. On a learning path, differences in beliefs and estimation risk generate portfolio biases similar …
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