Construction, management, and performance of sparse Markowitz portfolios
type: Item
instance of: scholarly article
title: Construction, management, and performance of sparse Markowitz portfolios
zbMATH Open document ID: 1329.91124
author: Julie Henriques
author: Juan-Pablo Ortega
publication date: 2016-01-19T00:00:00Z
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6532840
zbMATH Keywords: Markowitz portfolios
zbMATH Keywords: penalized regression
zbMATH Keywords: portfolio selection
zbMATH Keywords: portfolio management
zbMATH Keywords: sparsity
zbMATH Keywords: Sharpe ratio
describes a project that uses: RiskMetrics
describes a project that uses: CVX
describes a project that uses: PDCO
MaRDI profile type: Publication
full work available at URL: snde-2012-0010
OpenAlex ID: W3125380281
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cites work: A new approach to variable selection in least squares problems
cites work: Q4864293
DOI: 10.1515/SNDE-2012-0010
published in: Studies in Nonlinear Dynamics & Econometrics
description: scientific article; zbMATH DE number 6532840