A minimax portfolio selection strategy with equilibrium
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Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 166 (2005)
Issue (Month): 1 (October)
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- Yusif Simaan, 1997. "Estimation Risk in Portfolio Selection: The Mean Variance Model Versus the Mean Absolute Deviation Model," Management Science, INFORMS, vol. 43(10), pages 1437-1446, October.
- Nielsen, Lars Tyge, 1990. "Existence of equilibrium in CAPM," Journal of Economic Theory, Elsevier, vol. 52(1), pages 223-231, October.
- Chunhachinda, Pornchai & Dandapani, Krishnan & Hamid, Shahid & Prakash, Arun J., 1997. "Portfolio selection and skewness: Evidence from international stock markets," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 143-167, February.
- Xiaoxian Ma & Qingzhen Zhao & Jilin Qu, 2008. "Robust portfolio optimization with a generalized expected utility model under ambiguity," Annals of Finance, Springer, vol. 4(4), pages 431-444, October.
- Buckley, Winston S. & Brown, Garfield O. & Marshall, Mario, 2012. "A mispricing model of stocks under asymmetric information," European Journal of Operational Research, Elsevier, vol. 221(3), pages 584-592.
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