Norm constrained minimum variance portfolios with short selling
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DOI: 10.1007/s10287-023-00438-2
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- Francesco Cesarone & Rosella Giacometti & Manuel Luis Martino & Fabio Tardella, 2023. "A return-diversification approach to portfolio selection," Papers 2312.09707, arXiv.org.
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Keywords
Minimum variance portfolio model; Norm constraints; Short selling; Short-rebate; Risk-free interest rate; Budget constraint;All these keywords.
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