Abstract
It is widely known that the Markowitz formulation of the portfolio optimization problem, based on maximizing expected return and minimizing risk, is the main pillar of the portfolio management theoretical foundations. Nevertheless, its limited impact in investment management practice is also widely recognized1, which has fostered new approaches to the portfolio optimization problem.
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Reveiz, A., León, C. (2010). Efficient Portfolio Optimization in the Wealth Creation and Maximum Drawdown Space. In: Berkelaar, A.B., Coche, J., Nyholm, K. (eds) Interest Rate Models, Asset Allocation and Quantitative Techniques for Central Banks and Sovereign Wealth Funds. Palgrave Macmillan, London. https://doi.org/10.1057/9780230251298_7
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DOI: https://doi.org/10.1057/9780230251298_7
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