Il portafoglio media-varianza

Francesco Menoncin
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Francesco Menoncin: Università degli Studi di Brescia

Chapter 10 in Misurare e gestire il rischio finanziario, 2009, pp 137-147 from Springer

Abstract: Riassunto Nei capitoli precedenti si sono già stimati il vettore μ (di dimensione n) e la matrice Σ (di dimensione n × n) di un mercato i cui prezzi seguano il processo stocastico $$ I_S^{ - 1} dS = \mu dt + \Sigma 'dW. $$

Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-88-470-1147-2_10

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DOI: 10.1007/978-88-470-1147-2_10

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