Sparse and stable Markowitz portfolios (Q3069222)

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Sparse and stable Markowitz portfolios
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    title
    Sparse and stable Markowitz portfolios (English)
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    author
    Joshua Brodie
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    Ingrid Daubechies
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    Christine De Mol
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    Domenico Giannone
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    Ignace Loris
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    publication date
    24 January 2011
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    zbMATH DE Number
    5840883
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    zbMATH Keywords
    penalized regression
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    portfolio choice
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    sparsity
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