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Autor:
Jr. Jonathan E. Ingersoll
Publikováno v:
Critical Finance Review. 4:149-155
This note addresses the issue of impossible mean-variance frontiers – those on which there are no portfolios all of whose weights are positive. This is a concern because the market portfolio should be mean-variance efficient, and it has entire
Autor:
Jr. Jonathan E. Ingersoll
Publikováno v:
The Journal of Portfolio Management. 23:41-42