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Showing 1 to 1 of 1 for “"Markowitz mean-variance optimization, optimal return, optimal portfolio allocation"”.
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Efficient estimation for Markowitz's portfolio optimization by using random matrix theory
… under some situations the traditional (plug-in) return for the MV optimization is square of gamma times bigger than the theoretical optimal return, while under situations, the plug-in return is bigger than but may not be same times larger than its theoretic value with gamma......