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Reducing estimation risk in optimal portfolio selection when short sales are allowed
Gordon J. Alexander
, Alexandre M. Baptista
, Shu Yan
Finance
Research output
:
Contribution to journal
›
Article
›
peer-review
9
Scopus citations
Overview
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Dive into the research topics of 'Reducing estimation risk in optimal portfolio selection when short sales are allowed'. Together they form a unique fingerprint.
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Keyphrases
Risk Estimation
100%
Short Selling
100%
Optimal Portfolio Selection
100%
Optimal Portfolio
66%
Decision-making Process
33%
Confidence Level
33%
Copyright
33%
Investment Strategy
33%
Expected Returns
33%
Efficient Frontier
33%
VaR Constraint
33%
Out-of-sample Performance
33%
Long-Short
33%
Portfolio Managers
33%
VaR Bounds
33%
Economics, Econometrics and Finance
Investment Strategies
100%
Portfolio Selection
100%
Measure of Dispersion
100%