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An extension of Sharpe's single-index model: portfolio selection with expert betas.

Amelia Bilbao-TerolMar Arenas ParraMariano JiménezBlanca Pérez-GladishMaria Victoria Rodríguez Uría
Published in: J. Oper. Res. Soc. (2006)
Keyphrases
  • portfolio selection
  • objective function
  • probabilistic model
  • theoretical framework
  • data mining
  • long term
  • probability distribution