Smimou, Kamal; Thulasiram, Ruppa K. - In: Journal of Risk Finance 11 (2010) November, pp. 481-495
Purpose – Although the mean-variance portfolio selection model has been investigated in the literature, the difficulty associated with the application of the model when dealing with large-scale problems is limited. The aim of this paper is to close the gap by using the quadratic risk (standard...
