Share  Bookmark

 Download from



[6] Brandt, M., and SantaClara, (2006), Dynamic portfolio selection by augmenting the asset space. The Journal of Finance 61, 21872217.
[7] BrittenJones, M., (1999), The sampling error in estimates of meanvariance e cient portfolio weights. Journal of Finance 54, 655671.
[8] Celikyurt, E. and S. O zekici, (2007), Multiperiod portfolio optimization models in stochastic markets using the meanvariance approach. European Journal of Operational Research 179, 186 202.
[9] Celikyurt, E. and S. O zekici, (2009), Portfolio selection in stochastic markets with exponential utility functions. Annals of Operations Research 166, 281297.
[10] Cesarone, F., Scozzari, A. and F. Tardella, (2011), Portfolio selection problems in practice: a comparison between linear and quadratic optimization models. working paper.
[11] Fama, E.F., (1976), Foundations of Finance, Basic Books, New York.
[12] Frahm G. and C. Memmel, (2010), Dominating estimators for minimumvariance portfolios. Journal of Econometrics 159, 289302.
[13] Fu, C., LariLavassani, A. and X. Li, (2010), Dynamic meanvariance portfolio selection with borrowing constraint. European Journal of Operational Research 200, 312319.
[14] Gibbons, M.R., S.A. Ross and J. Shanken, (1989), A Test of the E ciency of a Given Portfolio. Econometrica 57, 11211152.
[15] Harville, D.A., (1997), Matrix algebra from a statistician's perspective, SpringerVerlag, New York.