Robust portfolio construction controlling the alpha-weight angle
Includes abstract. === Includes bibliographical references. === Estimation risk is widely seen to have a significant impact on mean-variance portfolios and is one of the major reasons the standard Markowitz theory has been criticized in practice. While several attempts to incorporate estimation risk...
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| Format: | Dissertation |
| Language: | English |
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University of Cape Town
2014
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| Online Access: | http://hdl.handle.net/11427/5812 |