Non-convex optimal portfolio sets and constant relative risk aversion
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
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KeywordsOptimal portfolio sets Constant relative risk aversion Convexity;
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