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Optimal portfolios under a correlation constraint
- Publication Year :
- 2018
- Publisher :
- Routledge, 2018.
-
Abstract
- Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark.
- Subjects :
- Mathematical optimization
050208 finance
Market portfolio
Bond
05 social sciences
Mathematics::Optimization and Control
Economics, Econometrics and Finance(all)
Statistics::Other Statistics
Constraint (information theory)
Correlation
Optimal constant
Computer Science::Systems and Control
Computer Science::Computational Engineering, Finance, and Science
0502 economics and business
Benchmark (computing)
Portfolio
050207 economics
General Economics, Econometrics and Finance
Finance
Mathematics
Subjects
Details
- Language :
- English
- Database :
- OpenAIRE
- Accession number :
- edsair.doi.dedup.....896ce12bc0493d9e6223141b5a2623b7
- Full Text :
- https://doi.org/10.1080/14697688.2017.1377843