文章基本信息

标题：Linear Portfolio Weights
本地全文：下载
作者：Giovanni Barone-Adesi
期刊名称：Quantitative and Qualitative Analysis in Social Sciences
印刷版ISSN：1752-8925
出版年度：2007
卷号：1
期号：2
页码：25-32
出版社：Quantitative and Qualitative Analysis in Social Sciences
摘要：Simple heuristics for large portfolio choice in small samples are proposed. The loss of e.ciency fromtrue optimum is observed by simulation. The performance of chosen portfolios is reasonable when truearbitrage opportunities and goo d deals are absent
关键词：Portfolio selection; heuristic methods