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Robust Mean-Variance Portfolio Selection

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Author Info
Cédric Perret-Gentil
Maria-Pia Victoria-Feser
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Paper provided by Département d'Econométrie, Université de Genève in its series Cahiers du Département d'Econométrie with number 2003.02.

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Length: 43 pages
Date of creation: Feb 2003
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Handle: RePEc:gen:geneem:2003.02

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  1. Victoria-Feser, M.-P., 2000. "Robust Portfolio Selection," Papers 2000.14, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
  2. Alexander, Gordon J & Resnick, Bruce G, 1985. " More on Estimation Risk and Simple Rules for Optimal Portfolio Selection," Journal of Finance, American Finance Association, vol. 40(1), pages 125-33, March. [Downloadable!] (restricted)
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