Sparse Weighted-Norm Minimum Variance Portfolios

DOI10.1093/rof/rfv024zbMath1402.91742OpenAlexW2339561069MaRDI QIDQ4555586

Yu-Min Yen

Publication date: 20 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfv024

zbMATH Keywords

portfolio weightsminimum variance portfoliosout-of-sample performances

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

Sparse index clones via the sorted ℓ₁-Norm ⋮ Bagged Pretested Portfolio Selection ⋮ Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach ⋮ Bootstrap maximum likelihood for quasi-stationary distributions

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