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NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.34 no.1, 2021년, pp.39 - 56
원하연 (성균관대학교 통계학과) , 박세영 (성균관대학교 통계학과)
Many researches have been done on portfolio optimization since Markowitz (1952) published a diversified investment model. Markowitz's mean-variance portfolio optimization problem is established under the assumption that the distribution of returns follows a normal distribution. However, in real life...
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