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Admissible Portfolio Optimization: Information Constraints, Conditional Efficient Frontiers, and the Price of Causal Identification

Dominguez, Alejandro Rodriguez
arXiv (All) · Papers
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Mean--variance portfolio choice takes the conditioning information as given and optimizes over weights, so two errors about that information pass into the portfolio unseen: using variables unavailable at the decision time and treating common variation as idiosyncratic. We make the conditioning infor
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