上传者: 18822147
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上传时间: 2023-10-30 16:20:04
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文件大小: 299KB
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文件类型: PDF
The classical mean-variance optimization takes expected returns and variances and produces portfolio positions. In this paper we discuss the direction and the magnitude of the positions vector separately, and focus on the former. We quantify the distortions of the mean-variance optimization process