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OR
2002
Springer

110views Operations Research» more OR 2002»

Sharpe style analysis in the msci sector portfolios: a monte carlo integration approach

13 years 11 months ago

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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