Arithmetic and continuous return mean-variance efficient frontiers

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Portfolio optimization in a multidimensional structural-default model with a focus on private equity

M Escobar, P Hieber, M Scherer, L Seco - The Journal of Private Equity, 2011 - JSTOR
Investments in various asset classes, such as private equity or hedge funds, are prone to
default risk, which needs to be accounted for when calculating individual investment …
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