Sparse weighted-norm minimum variance portfolios (Q4555586)
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scientific article; zbMATH DE number 6981885
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| default for all languages | No label defined |
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| English | Sparse weighted-norm minimum variance portfolios |
scientific article; zbMATH DE number 6981885 |
Statements
Sparse Weighted-Norm Minimum Variance Portfolios (English)
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20 November 2018
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minimum variance portfolios
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portfolio weights
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out-of-sample performances
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0.8555421829223633
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0.8484448194503784
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0.8339009284973145
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0.8323591947555542
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0.8316869735717773
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