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Volumn 120, Issue 1, 2004, Pages 1-27

Single-period Markowitz portfolio selection, performance gauging, and duality: A variation on the Luenberger shortage function

Author keywords

Efficient frontier; Mean variance portfolios; Risk aversion; Shortage function

Indexed keywords

DATA ENVELOPMENT ANALYSIS; FINANCIAL DATA PROCESSING; INVESTMENTS; QUADRATIC PROGRAMMING;

EID: 0347093383     PISSN: 00223239     EISSN: None     Source Type: Journal    
DOI: 10.1023/B:JOTA.0000012730.36740.bb     Document Type: Article
Times cited : (80)

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