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  • Search: subject:"Lagrange coefficients"
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Year of publication
Subject
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Lagrange coefficients 1 Markowitz optimization 1 covariance matrix 1 global minimum variance portfolio 1 shrinkage methods 1 tangency portfolio 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
Author
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Roncalli, Thierry 1
Institution
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
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MPRA Paper 1
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RePEc 1
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Understanding the Impact of Weights Constraints in Portfolio Theory
Roncalli, Thierry - Volkswirtschaftliche Fakultät, … - 2010
In this article, we analyze the impact of weights constraints in portfolio theory using the seminal work of Jagannathan and Ma (2003). They show that solving the global minimum variance portfolio problem with some constraints on weights is equivalent to use a shrinkage estimate of the covariance...
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