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  1. 541

    Big data challenges of high-dimensional continuous-time mean-variance portfolio selection and a remedy by Chiu, Mei Choi, Pun, Chi Seng, Wong, Hoi Ying

    Published 2019
    “…We show that both optimized portfolios implemented with the traditional sample estimates converge to the worst performing portfolio when the portfolio size becomes large. …”
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    Journal Article
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