Abstract
Under a correlation constraint the optimal constant/fixed-mix portfolio consists of the market portfolio, the riskless bond and the benchmark.
| Original language | English |
|---|---|
| Pages (from-to) | 333-345 |
| Number of pages | 13 |
| Journal | Quantitative Finance |
| Volume | 18 |
| Issue number | 3 |
| DOIs | |
| Publication status | Published - 4 Mar 2018 |