Optimality of Naive Investment Strategies in Dynamic MeanVariance Optimization Problems with Multiple Priors
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More about this item
KeywordsRobust mean-variance optimization; dynamic portfolio selections; naive diversification; global minimum-variance portfolio; mean-variance efficiency.;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2016-07-16 (All new papers)
- NEP-GER-2016-07-16 (German Papers)
- NEP-MIC-2016-07-16 (Microeconomics)
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