Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return
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DOI: 10.1016/j.ribaf.2021.101548
Abstract: The potential benefits of portfolio diversification have been known to investors for a long time. Markowitz (1952) suggested the seminal approach for optimizing the portfolio problem based on finding the weights as budget shares that… read more here.
Keywords: portfolio; adjusted return; risk adjusted; problem ... See more keywords