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Contemporary financial stochastic programs typically involve a trade-offbetween return and (downside)-risk. Using stochastic programming we characterize analytically (rather than numerically) the optimal decisions that follow from characteristic single-stage and multi-stage versions of such...
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.We analyze the traditional Markowitz mean-variance (MV) portfolio by large dimension matrix theory, and find the spectral … findings are consistent with the theory developed in the paper. …
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