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LINEARIZING RISK IN THE SHARPE PORTFOLIO SELECTION MODEL: AN EX‐ANTE AND EX‐POST COMPARISON
Author(s) -
Hill Joanne M.
Publication year - 1979
Publication title -
financial review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.621
H-Index - 47
eISSN - 1540-6288
pISSN - 0732-8516
DOI - 10.1111/j.1540-6288.1979.tb01800.x
Subject(s) - sharpe ratio , portfolio , ex ante , selection (genetic algorithm) , economics , actuarial science , computer science , operations research , financial economics , mathematics , artificial intelligence , macroeconomics