A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms

Management Science

Volumn 55, Issue 5, 2009, Pages 798-812

  DeMiguel, Victor ^a   Garlappi, Lorenzo ^b   Nogales, Francisco J ^c   Uppal, Raman ^a  

^a LONDON BUSINESS SCHOOL   (United Kingdom)

^b UNIVERSITY OF TEXAS AT AUSTIN   (United States)

^c UNIVERSIDAD CARLOS III DE MADRID   (Spain)

Author keywords

Covariance matrix estimation; Estimation error; Norm constraints; Portfolio choice; Shrinkage estimator

Indexed keywords

COVARIANCE MATRIX ESTIMATION; ESTIMATION ERROR; NORM CONSTRAINTS; PORTFOLIO CHOICE; SHRINKAGE ESTIMATOR;

ESTIMATION; FINANCIAL DATA PROCESSING; RISK PERCEPTION; SHRINKAGE;

COVARIANCE MATRIX;

EID: 67649999044     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1080.0986     Document Type: Article

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