The SLE-MUV model produces a continuous convex analytical Pareto frontier for portfolios under volatility uncertainty, outperforming mean-variance optimization in risk-adjusted returns on US and A-share market data.
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Pareto frontier of portfolio investment under volatility uncertainty and short-sale constraints market
The SLE-MUV model produces a continuous convex analytical Pareto frontier for portfolios under volatility uncertainty, outperforming mean-variance optimization in risk-adjusted returns on US and A-share market data.