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New light on the portfolio allocation problem

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Publication:1812298
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DOI10.1007/s001860200211zbMath1058.91041OpenAlexW2067377639MaRDI QIDQ1812298

Darrell A. Turkington, Ross A. Maller

Publication date: 23 June 2003

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860200211

zbMATH Keywords

Sharpe ratioefficient frontierMarkowitz mean-variance optimization


Mathematics Subject Classification ID

Stochastic models in economics (91B70)


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