Robust portfolio construction using sorting signatures
Includes bibliographical references. === Mean-variance analysis introduced by Harry Markowitz has been criticised in the past mainly due to the counter-intuitive and unstable nature of the resultant portfolios from the optimisation. These disappointing results have been linked to the presence of est...
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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/11427/8527 |