Penalizing variances for higher dependency on factors
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DOI: 10.1080/14697688.2016.1220677
Abstract: Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical for meeting investment objectives. Mean–variance analysis (Markowitz 1952, 1959) wa... read more here.
Keywords: penalizing variances; variances higher; dependency factors; finance ... See more keywords