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Original Articles

Portfolio allocation with heavy-tailed returns

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Pages 237-242 | Published online: 23 Jul 2007

References

  • Markowitz , H . 1952 . Portfolio selection . Journal of Finance , 7 : 77 – 91 .
  • Miao , J and Dunis , CL . 2005 . Volatility filters for dynamic portfolio optimization . Applied Financial Economics Letters , 1 : 111 – 9 .
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  • Uysal , E , Trainer , H. F. Jr and Reiss , J . 2001 . Revisiting mean-variance optimization-from a scenario analysis perspective . The Journal of Portfolio Management , Summer : 71 – 81 .
  • Wang , S and Xia , Y . 2002 . Portfolio Selection and Asset Pricing , Berlin, Heidelberg : Springer .

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