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A test on the location of the tangency portfolio on the set of feasible portfolios.

Stanislas MuhinyuzaTaras BodnarMathias Lindholm
Published in: Appl. Math. Comput. (2020)
Keyphrases
  • small number
  • portfolio selection
  • linear programming
  • website
  • evolutionary algorithm
  • feature set
  • user defined
  • convex sets