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Single-Period Markowitz Portfolio Selection, Performance Gauging, and Duality: A Variation on the Luenberger Shortage Function

Mathematical ProgrammingEconomicsPortfolio OptimizationAsset PricingPortfolio SelectionManagementBusinessPerformance GaugingLuenberger Shortage FunctionPortfolio ManagementIntertemporal Portfolio ChoiceFinancial EngineeringPortfolio AllocationPortfolio ChoiceFinanceQuantitative Management