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  • Search: subject:"Parametric quadratic programming"
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Year of publication
Subject
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Capital Asset Pricing Model 1 Parametric quadratic programming 1 Portfolio holdings 1 Portfolio-Management 1 Upper bound constraint 1 Wertpapieranalyse 1 parametric quadratic programming 1 portfolio holdings 1 upper bound constraint 1 Österreich 1
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Online availability
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Free 2
Type of publication
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Book / Working Paper 2
Type of publication (narrower categories)
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Working Paper 1
Language
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English 2
Author
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Hlouskova, Jaroslava 2 Lee, Gabriel S. 2
Institution
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Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1
Published in...
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Economics Series / Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS) 1 Reihe Ökonomie / Economics Series 1
Source
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EconStor 1 RePEc 1
Showing 1 - 2 of 2
Cover Image
Legal restrictions on portfolio holdings: Some empirical results
Hlouskova, Jaroslava; Lee, Gabriel S. - 2001
This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...
Persistent link: https://www.econbiz.de/10010292741
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Cover Image
Legal Restrictions on Portfolio Holdings: Some Empirical Results
Hlouskova, Jaroslava; Lee, Gabriel S. - Department of Economics and Finance Research and … - 2001
This article investigates the sensitivity analysis of mean-variance portfolio holdings to changes in the upper bounds. The optimization problem studied in this paper is, thus, constrained by a restriction that no more than certain portion of wealth can be invested in any one security. Our...
Persistent link: https://www.econbiz.de/10005823249
Saved in:
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