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- W3000565563 abstract "The expected return and risk of asset cannot be predicted accurately because of uncertain factors that affect the finical markets. In this paper, the admissible efficient portfolio model is proposed under the assumption that the expected return and risk of asset have admissible errors to reflect the uncertainty in real investment actions. The upper and lower admissible efficient portfolios can be defined by the spreads of the portfolio expected returns and risks from the upper and lower bounds of admissible errors. The admissible efficient portfolio frontiers are derived explicitly when short sales are not allowed. A numerical example of a portfolio selection problem is given to illustrate our proposed effective means and approaches." @default.
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- W3000565563 date "2004-12-01" @default.
- W3000565563 modified "2023-09-27" @default.
- W3000565563 title "On admissible efficient portfolio selection problem" @default.
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- W3000565563 doi "https://doi.org/10.1016/j.amc.2003.10.019" @default.
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