Blar i AURA på forfatter "Lysberg, Magnus Andre"
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Optimized portfolios versus Naive Diversification : could the superior performance of optimized portfolios be attributed to established factor premiums?
Bjørnstøl, Thor Andre; Lysberg, Magnus Andre (Master thesis, 2017)Since the publication of the study by DeMiguel, Garlappi & Uppal (2009), where theydemonstrate that none of the 14 mean-variance optimization strategies outperform thenaive diversification, several studies claim to defend ...