On the long-only minimum variance portfolio under single factor model
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Publication:2060386
DOI10.1016/j.orl.2021.08.014OpenAlexW3196867224MaRDI QIDQ2060386
Publication date: 13 December 2021
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2021.08.014
portfolio optimizationminimum variance portfoliolong-only beta thresholdsecurity betasingle factor model
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