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Portfolio optimization with asset preselection using data envelopment analysis
16 references·0 citing·36 second hop
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References

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  • 1993Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency11,575 cited
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  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
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  • 1997Efficiency of mutual funds and portfolio performance measurement: A non-parametric approach370 cited
  • 1978Mutual fund separation in financial theory—The separating distributions345 cited
  • 2004Risk measures for the 21st century329 cited
  • 2004Data Envelopment Analysis

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228 cited
  • 2011The 1/N investment strategy is optimal under high model ambiguity221 cited
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