Abate, Guido; Bonafini, Tommaso; Ferrari, Pierpaolo - In: International Journal of Financial Studies : open … 10 (2022) 1, pp. 1-20
Mean-variance optimization often leads to unreasonable asset allocations. This problem has forced scholars and practitioners alike to introduce portfolio constraints. The scope of our study is to verify which type of constraint is more suitable for achieving efficient performance. We have...
