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Benchmarking mean-variance portfolios using a shortage function: the choice of direction vector affects rankings!

Kristiaan KerstensAmine MounirIgnace Van de Woestyne
Published in: J. Oper. Res. Soc. (2012)
Keyphrases
  • portfolio selection
  • portfolio optimization
  • information systems
  • real time
  • machine learning
  • similarity measure
  • data sets
  • learning algorithm
  • artificial intelligence
  • linear programming
  • utility function