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

@@ Property / arXiv ID @@
+.0046
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+Normal rank
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+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?
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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