Standardized versus customized portfolio: a compensating variation approach
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Publication:1026546
DOI10.1007/s10479-008-0447-6zbMath1163.91392OpenAlexW2077872973MaRDI QIDQ1026546
Jean-Luc Prigent, André de Palma
Publication date: 25 June 2009
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-008-0447-6
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Related Items (4)
On the robustness of portfolio allocation under copula misspecification ⋮ On the optimality of path-dependent structured funds: the cost of standardization ⋮ Near-optimal asset allocation in financial markets with trading constraints ⋮ Mixed-asset portfolio allocation under mean-reverting asset returns
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