Do constraints improve portfolio performance?
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 24 (2000)
Issue (Month): 8 (August)
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Web page: http://www.elsevier.com/locate/jbf
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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2005-05, University of New Orleans, Department of Economics and Finance.
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- Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2014. "Portfolio optimization using forward-looking information," CFR Working Papers 11-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Behr, Patrick & Guettler, Andre & Miebs, Felix, 2013. "On portfolio optimization: Imposing the right constraints," Journal of Banking & Finance, Elsevier, vol. 37(4), pages 1232-1242.
- Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
- Gabriel Frahm, 2010. "Linear statistical inference for global and local minimum variance portfolios," Statistical Papers, Springer, vol. 51(4), pages 789-812, December.
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