Tangent portfolio weights without explicitly specified expected returns
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DOI: 10.1057/jam.2014.22
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Cited by:
- Paskalis Glabadanidis, 2020. "Portfolio Strategies to Track and Outperform a Benchmark," JRFM, MDPI, vol. 13(8), pages 1-26, August.
- Paskalis Glabadanidis, 2022. "Portfolio weights concentration: optimal strategies and equilibrium implications," International Journal of Managerial Finance, Emerald Group Publishing Limited, vol. 19(3), pages 572-582, May.
- Paskalis Glabadanidis, 2016. "Maximizing excess return per unit variance: A novel investment management objective," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 486-501, December.
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Keywords
tangent portfolio weights; factor models of expected returns; market model; Fama and French three-factor model; Carhart four-factor model; out-of-sample realized active return;All these keywords.
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