Robust Mean-Variance Portfolio Selection
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Bibliographic InfoPaper provided by Département des Sciences Économiques, Université de Genève in its series Research Papers by the Department of Economics, University of Geneva with number 2003.02.
Length: 43 pages
Date of creation: Feb 2003
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-21 (All new papers)
- NEP-FIN-2003-04-21 (Finance)
- NEP-RMG-2003-04-21 (Risk Management)
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.:
- Victoria-Feser, M.-P., 2000. "Robust Portfolio Selection," Papers 2000.14, Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
- 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.
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