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Self-Averaging Property of Minimal Investment Risk of Mean-Variance Model
In portfolio optimization problems, the minimum expected investment risk is not always smaller than the expected minimal investment risk. That is, using a well-known approach from operations research, it is possible to derive a strategy that minimizes the expected investment risk, but this strategy...
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
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Public Library of Science
2015
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| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC4520490/ https://www.ncbi.nlm.nih.gov/pubmed/26225761 http://dx.doi.org/10.1371/journal.pone.0133846 |