Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
收藏NBER2002-05-01 更新2025-01-04 收录
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https://www.nber.org/papers/w8922
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资源简介：
Mean-variance efficient portfolios constructed using sample moments often involve taking extreme long and short positions. Hence practitioners often impose portfolio weight constraints when constructing efficient portfolios. Green and Hollifield (1992) argue that the presence of a single dominant
提供机构：
美国国家经济研究局
创建时间：
2002-05-01
