Penalizing variances for higher dependency on factors

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Publisher
ROUTLEDGE JOURNALS
Issue Date
2017-04
Language
English
Article Type
Editorial Material
Keywords

ROBUST PORTFOLIO OPTIMIZATION; SELECTION; RISK; MODELS; RETURNS; MARKETS; TRENDS

Citation

QUANTITATIVE FINANCE, v.17, no.4, pp.479 - 489

ISSN
1469-7688
DOI
10.1080/14697688.2016.1220677
URI
http://hdl.handle.net/10203/223597
Appears in Collection
IE-Journal Papers(저널논문)
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