Sparse and stable Markowitz portfolios (Q3069222): Difference between revisions

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-.1073/pnas.0904287106
@@ Property / DOI: 10.1073/pnas.0904287106 / rank @@
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+.0046
@@ Property / arXiv ID: 0708.0046 / rank @@
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@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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+Atomic Decomposition by Basis Pursuit
@@ Property / cites work: Atomic Decomposition by Basis Pursuit / rank @@
+Normal rank
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+Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
+Normal rank
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+A new approach to variable selection in least squares problems
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+Least angle regression. (With discussion)
@@ Property / cites work: Least angle regression. (With discussion) / rank @@
+Normal rank
@@ Property / DOI @@
+.1073/PNAS.0904287106
@@ Property / DOI: 10.1073/PNAS.0904287106 / rank @@
+Normal rank