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Oswaldo Luiz do Valle Costa,Rodrigo de Barros Nabholz
Pág. pp. 101 - 121
In a recent paper, Li and Ng (2000) considered the multi-period mean variance optimization problem, with investing horizon T, for the case in which only the final variance Var(V(T)) or expected value of the portfolio E(V(T)) are considered in the optimiz...
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