Timothy Adler

Windham Capital Management

5 Revere Street

Cambridge, MA 02138

United States

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Mean-Variance Versus Full-Scale Optimization: In and Out of Sample

MIT Sloan Research Paper No. 4589-05
Number of pages: 20 Posted: 16 Feb 2006
Timothy Adler and Mark Kritzman
Windham Capital Management and Massachusetts Institute of Technology (MIT) - Sloan School of Management
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Abstract:

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Mean-Variance Analysis, Full-Scale Optimization, Portfolio Formation