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"Mean-variance efficient large portfolios: a simple machine learning ..."
Michele Costola et al. (2024)
- Michele Costola, Bertrand Maillet, Zhining Yuan, Xiang Zhang:
Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem. Ann. Oper. Res. 334(1): 133-155 (2024)
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