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OR
2002
Springer
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Operations Research
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OR 2002
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Sharpe style analysis in the msci sector portfolios: a monte carlo integration approach
13 years 10 months ago
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www2.warwick.ac.uk
We examine a decision-theoretic Bayesian framework for the estimation of Sharpe Style portfolio weights of the MSCI sector returns. Following van Dijk and Kloek (1980) an appropri...
George A. Christodoulakis
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