Rong Xu

MSCI Inc.

88 Pine Street

2nd Floor

New York, NY 10005

United States

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The Effects of Risk Aversion on Optimization, February 2010

MSCI Barra Research Paper No. 2010-06
Number of pages: 28 Posted: 07 May 2010
Scott Liu and Rong Xu
MSCI Inc. and MSCI Inc.
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Abstract:

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risk, aversion, portfolio optimization, parameters, Barra Optimizer risk levels, tools, portfolio managers, investment