Portfolio optimization when expected stock returns are determined by exposure to risk
Journal article, 2009
Black-Scholes model
portfolio optimization
continuous-time model
Markowitz'
ranks
problem
selection
expected stock returns
1/n strategy
Author
CARL LINDBERG
University of Gothenburg
Chalmers, Mathematical Sciences, Mathematical Statistics
Bernoulli
1350-7265 (ISSN)
Vol. 15 2 464-474Subject Categories
Probability Theory and Statistics
DOI
10.3150/08-BEJ163