Single-Period Mean–Variance Analysis in a Changing World

Harry Markowitz and Erik L. Dijk ()
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Erik L. Dijk: LMG Emerge Ltd

Chapter Chapter 10 in Stochastic Programming, 2010, pp 213-237 from Springer

Abstract: Abstract This paper proposes a scalable heuristic for portfolio selection problems in which investments are illiquid and return distributions change over time.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:spr:isochp:978-1-4419-1642-6_10

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DOI: 10.1007/978-1-4419-1642-6_10

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