Global Asset Allocation and Stock Selection. Estimation Error and Portfolio Optimization. Campbell R. Harvey Duke University, Durham, NC USA National Bureau of Economic Research, Cambridge MA USA [email protected] +1 919.660.7768 office || +1 919.271.8156 mobile
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The procedure described below has U.S. Patent #6,003,018 by Michaud et al., December 19, 1999.
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