Sparse and stable Markowitz portfolios

Proceedings of the National Academy of Sciences of the United States of America

Volumn 106, Issue 30, 2009, Pages 12267-12272

  Brodie, Joshua ^a   Daubechies, Ingrid ^a   De Mol, Christine ^b   Giannone, Domenico ^c   Loris, Ignace ^b,d  

^a PRINCETON UNIVERSITY   (United States)

^b UNIVERSITÉ LIBRE DE BRUXELLES   (Belgium)

^c EUROPEAN CENTRAL BANK   (Germany)

^d VRIJE UNIVERSITEIT BRUSSEL   (Belgium)

Author keywords

Penalized regression; Portfolio choice; Sparsity

Indexed keywords

ARTICLE; COST CONTROL; FINANCIAL MANAGEMENT; METHODOLOGY; PRIORITY JOURNAL; STATISTICAL ANALYSIS; TRAINING;

ALGORITHMS; COMPUTER SIMULATION; INDUSTRY; MODELS, THEORETICAL; REPRODUCIBILITY OF RESULTS;

EID: 68149147540     PISSN: 00278424     EISSN: 10916490     Source Type: Journal    
DOI: 10.1073/pnas.0904287106     Document Type: Article

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