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Analytic solution to variance optimization with no short positions (2017)

First Author: Kondor I

Attributed to: Systemic Risk Centre funded by ESRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1088/1742-5468/aa9684

Publication URI: http://dx.doi.org/10.1088/1742-5468/aa9684

Type: Journal Article/Review

Parent Publication: Journal of Statistical Mechanics: Theory and Experiment

Issue: 12