Xidonas, Panos; Mavrotas, George - In: The European Journal of Finance 20 (2014) 11, pp. 957-977
Our purpose in this paper is to depart from the intrinsic pathology of the typical mean-variance formalism, due to both the restriction of its assumptions and difficulty of implementation. We manage to co-assess a set of sophisticated real-world non-convex investment policy limitations, such as...