A unified model for regularized and robust portfolio optimization
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Publication:2007869
DOI10.1016/j.jedc.2019.103779zbMath1425.91391OpenAlexW2981602481MaRDI QIDQ2007869
Publication date: 22 November 2019
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2019.103779
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (3)
Robust portfolio optimization: a categorized bibliographic review ⋮ Large-scale minimum variance portfolio allocation using double regularization ⋮ A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
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