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- W2953387382 abstract "The investment risk minimization problem with budget and return constraints has been the subject of research using replica analysis but there are shortcomings in the extant literature. With respect to Tobin's separation theorem and the capital asset pricing model, it is necessary to investigate the implications of a risk-free asset and examine its influence on the optimal portfolio. Accordingly, in this work, we explore the investment risk minimization problem in the presence of a risk-free asset with budget and return constraints. Moreover, we discuss opportunity loss, the Pythagorean theorem of the Sharpe ratio, and Tobin's separation theorem." @default.
- W2953387382 created "2019-06-27" @default.
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- W2953387382 date "2019-06-20" @default.
- W2953387382 modified "2023-09-27" @default.
- W2953387382 title "Macroscopic theorem of the portfolio optimization problem with a risk-free asset" @default.
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- W2953387382 hasPublicationYear "2019" @default.
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