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On the use of conditional expectation in portfolio selection problems |
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| Authors: | Ortobelli Sergio Kouaissah Noureddine Tichý Tomá? |
| Institution: | 1.Department MEQM, University of Bergamo, Via dei Caniana 2, Bergamo, 24 127, Italy ;2.Department of Finance, Faculty of Economics, Technical University Ostrava, Sokolská 33, Ostrava, 702 00, Czech Republic ; |
| Abstract: | Annals of Operations Research - In this paper, we examine the use of conditional expectation, either to reduce the dimensionality of large-scale portfolio problems or to propose alternative... |
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