Portfolio Construction using Clustering Methods
One major criticism about the traditional mean-variance portfolio optimization is that it tends to magnify the estimation error. A little estimation error can cause the distortion of the whole portfolio. Two popular ways to solve this problem are to use a resampling method or the Black-Litterman met...
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Digital WPI
2005
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| Online Access: | https://digitalcommons.wpi.edu/etd-theses/313 https://digitalcommons.wpi.edu/cgi/viewcontent.cgi?article=1312&context=etd-theses |