The authors are both from The Leon Recanati Graduate School of Business Administration, Tel Aviv University, Israel. They would like to thank Simon Benninga for his encouragement, stimulating suggestions, and valuable comments. They are also grateful for very helpful comments from an anonymous referee, Norman Strong (associate editor), Azi Ben-Rephael, Michael Brandt, Uday Rajan, Michael Wolf, Guofu Zhou, and seminar participants at the Hebrew University of Jerusalem, University of Michigan, and Tel Aviv University. They acknowledge financial support from the Henry Crown Institute of Business Research in Israel. The authors are solely responsible for any remaining errors.
Portfolio Optimization Using a Block Structure for the Covariance Matrix
Article first published online: 6 MAR 2012
© 2012 Blackwell Publishing Ltd
Journal of Business Finance & Accounting
Volume 39, Issue 5-6, pages 806–843, June/July 2012
How to Cite
Disatnik, D. and Katz, S. (2012), Portfolio Optimization Using a Block Structure for the Covariance Matrix. Journal of Business Finance & Accounting, 39: 806–843. doi: 10.1111/j.1468-5957.2012.02279.x
- Issue published online: 3 JUL 2012
- Article first published online: 6 MAR 2012
- (Paper received October 2009, revised version accepted December 2011)
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