Vast portfolio selection with gross-exposure constraints

Journal of the American Statistical Association

Volumn 107, Issue 498, 2012, Pages 592-606

  Fan, Jianqing ^a,b   Zhang, Jingjin ^c   Yu, Ke ^d  

^a Princeton University   (United States)

^b SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^c MCKINSEY AND COMPANY   (United States)

^d JPMorgan Chase and Co   (Singapore)

Author keywords

Mean variance efficiency; Portfolio improvement; Portfolio optimization; Risk assessment; Risk optimization; Short sale constraint

Indexed keywords

EID: 84864394076     PISSN: 01621459     EISSN: None     Source Type: Journal    
DOI: 10.1080/01621459.2012.682825     Document Type: Article

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