Construction, management, and performance of sparse Markowitz portfolios (Q905387)
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scientific article; zbMATH DE number 6532840
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| English | Construction, management, and performance of sparse Markowitz portfolios |
scientific article; zbMATH DE number 6532840 |
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Construction, management, and performance of sparse Markowitz portfolios (English)
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19 January 2016
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Markowitz portfolios
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penalized regression
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portfolio selection
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portfolio management
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sparsity
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Sharpe ratio
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0.8927930593490601
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0.8203878402709961
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0.8186531662940979
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0.8133850693702698
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0.8041608929634094
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