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In this paper we introduce a framework for constructing portfolios, addressing two of the major problems of classical mean-variance optimization in practice: Low diversification and sensitivity to information ambiguity. In order to address these issues, we incorporate a prior regarding investors preferences as well as using a bootstrapping method to incorporate the effects of input parameter variation...
In this paper we study the problem of optimal portfolio construction when the trading horizon consists of two consecutive decision intervals and rebalancing is permitted. It is assumed that the log-prices of the underlying assets are non-stationary, and specifically follow a discrete-time cointegrated vector autoregressive model. We extend the classical Markowitz mean-variance optimization approach...
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