Optimal portfolios under a correlation constraint

C. Bernard, D. Cornilly and Steven Vanduffel ()

Quantitative Finance, 2018, vol. 18, issue 3, 333-345

Abstract: Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark

Date: 2018
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DOI: 10.1080/14697688.2017.1377843

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