A Comprehensive Portfolio Construction Under Stochastic Environment
Prior research has established that idiosyncratic volatility of the securities prices exhibits a positive trend. This trend and other factors have made the merits of investment diversification and portfolio construction more compelling. A new optimization technique, a greedy algorithm, is proposed t...
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| Format: | Others |
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FIU Digital Commons
2008
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| Online Access: | http://digitalcommons.fiu.edu/etd/187 http://digitalcommons.fiu.edu/cgi/viewcontent.cgi?article=1240&context=etd |