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Second Order Frechet Differential of Quasiconcave Monotone Normalized Functionals

The theory of mean-variance based portfolio selection is a cornerstone of modern asset management. It rests on the assumption that rational investors choose among risky assets purely on the basis of expected return and risk, with risk measured as variance. The aim of this paper is to provide a foundation to such assumption in a general context of decision under uncertainty
Year of publication:
2013
Authors: Shirai, Yoshihiro
Publisher: [2013]: [S.l.] : SSRN
freely available
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