Solution Uniqueness in Portfolio Optimization
Research on mean-deviation portfolio optimization indicates that unique Pareto-optimal profit sharing in cooperative investment and unique solutions in the Black–Litterman asset allocation model cannot be expected.
Featured in No. 78 on 12 Dec 2024 · on release day
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- 12 Dec 2024
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- No. 78 · 12 Dec 2024
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- Identifier
- RePEc:wsi:ijtafx:v:27:y:2024:i:05n06:n:s0219024924500195
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