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  • Search: subject:"Full-scale Optimization"
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Year of publication
Subject
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Autocorrelation 1 Autokorrelation 1 Co-occurrence 1 Correlation 1 Divergence 1 Estimation theory 1 Full-scale Optimization 1 Informativeness 1 Korrelation 1 Lagged Cross Correlation 1 Mahalanobis Distance 1 Mathematical programming 1 Mathematische Optimierung 1 Mean-variance Analysis 1 Multi-horizon Optimal Portfolio 1 Parametric Optimization 1 Pearson Correlation 1 Portfolio selection 1 Portfolio-Management 1 S-shaped utility 1 Schätztheorie 1 Turbulence 1 bilinear utility 1 full-scale optimization 1 portfolio choice 1 utility maximization 1
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Online availability
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Free 1
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 1 Undetermined 1
Author
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Anderson, Richard G. 1 Binner, Jane 1 Elger, Thomas 1 Hagströmer, Björn 1 Kinlaw, William B. 1 Kritzman, Mark 1 Nilsson, Birger 1 Turkington, David 1
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Institution
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Nationalekonomiska Institutionen, Ekonomihögskolan 1
Published in...
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MIT Sloan Research Paper 1 Working Papers / Nationalekonomiska Institutionen, Ekonomihögskolan 1
Source
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ECONIS (ZBW) 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Co-Occurrence : A New Perspective on Portfolio Diversification
Kinlaw, William B.; Kritzman, Mark; Turkington, David - 2023
Investors typically measure an asset’s potential to diversify a portfolio by its correlations with the portfolio’s other assets, but correlation is useful only if it provides a good estimate of how an asset’s returns co-occur cumulatively with the other asset returns over the investor’s...
Persistent link: https://www.econbiz.de/10014343662
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Cover Image
Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK
Hagströmer, Björn; Anderson, Richard G.; Binner, Jane; … - Nationalekonomiska Institutionen, Ekonomihögskolan - 2007
In the Full-Scale Optimization approach the complete empirical financial return probability distribution is considered … with small deviations from normality; the findings indicate much broader usefulness of Full-Scale Optimization than has … equity indices we identify several utility functions featuring loss aversion and prospect theory; under which Full-Scale …
Persistent link: https://www.econbiz.de/10005419378
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