Portfolio optimisation with Equally-weighted risk contributions strategy
Markowitz has lifted portfolio theory to scientific level by introducing mean-variance framework. Minimum Variance portfolio, unique portfolio on the mean-variance efficient portfolio, has attracted a lot of interest as it is independent of returns expectations. However, the approach has plenty of l...
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| Format: | Dissertation (University of Nottingham only) |
| Language: | English |
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2009
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| Online Access: | https://eprints.nottingham.ac.uk/23189/ |