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Robust efficient frontier analysis with a separable uncertainty model
The mean - variance model effective portfolio construction model parameters return on assets uncertainty analysis and numerical examples
2015/8/10
Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expec...
Robust efficient frontier analysis with a separable uncertainty model
Robust efficient frontier analysis separable uncertainty model
2015/7/10
Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expec...
Meta-frontier analysis of organic and conventional cocoa production in Ghana
returns to scale stochastic frontier technical efficiency technology gap ratio
2014/2/24
This study considers the meta-frontier technique to compare the efficiency level of organic and conventional cocoa production systems in Ghana using a cross sectional data of 390 farms. The results re...
Exploring the Limits of Common Coins Using Frontier Analysis of Protocols
multi-party computation universal composition secure function evaluation trusted common randomness frontier analysis
2011/1/12
In 2-party secure computation, access to common, trusted randomness is a fundamental primitive. It is widely employed in the setting of computationally bounded players (under various complexity assump...
Exploring the Limits of Common Coins Using Frontier Analysis of Protocols
foundations / multi-party computation universal composition secure function evaluation trusted common randomness frontier analysis
2012/3/30
In 2-party secure computation, access to common, trusted randomness is a fundamental primitive. It is widely employed in the setting of computationally bounded players (under various complexity assump...