On the structure of multifactor optimal portfolio strategies

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On the structure of multifactor optimal portfolio strategies

The paper studies problem of optimal portfolio selection. It is shown that, under some mild conditions, near optimal strategies for investors with different performance criteria can be constructed using a limited number of fixed processes (mutual funds), for a market with a larger number of availabl...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	EDP Sciences 2017
Online Access:	http://hdl.handle.net/20.500.11937/54223

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