The Adaptive Asset Allocation (AAA) portfolio combines two different tactical approaches (momentum and minimum variance) into one algorithm. The intention of this portfolio recipe is to optimize ...
The Journal of Finance, Vol. 41, No. 5 (Dec., 1986), pp. 1051-1068 (18 pages) Duality theory is employed to provide necessary and sufficient conditions for portfolios on the minimum-variance frontier ...
The mean-variance optimization suggested by Henry Markowitz represents a path-breaking work, the beginning of the so-called Modern Portfolio Theory. This theory has been criticized by some researchers ...
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