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- W2252747513 abstract "We propose a linear bi-objective optimization approach to the problem of finding a portfolio that maximizes average excess return with respect to a benchmark index while minimizing underperformance over a learning period. We establish some theoretical results linking classical No Arbitrage conditions to the existence of a feasible portfolio for our model that strictly outperforms the index. Empirical analyses on publicly available real-world financial datasets show the effectiveness of the model and confirm the described theoretical results." @default.
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- W2252747513 date "2013-05-21" @default.
- W2252747513 modified "2023-09-23" @default.
- W2252747513 title "No arbitrage and a linear portfolio selection model" @default.
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