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A note on the three-portfolio matching problem

Trojani, Fabio ; Vanini, Paolo ; Vignola, Luigi

A typical problem arising in the financial planning for private investors consists in the fact that the initial investor’s portfolio, the one determined by the consulting process of the financial institution and the universe of instruments made available to the investor have to be matched/optimized when determining the relevant portfolio choice. We call this problem the three-portfolios...