Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function

Author: Briec W.   Kerstens K.   Lesourd J. B.  

Publisher: Springer Publishing Company

ISSN: 0022-3239

Source: Journal of Optimization Theory and Applications, Vol.120, Iss.1, 2004-01, pp. : 1-27

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Abstract