Sparse and stable Markowitz portfolios
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- Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
- Giannone, Domenico & De Mol, Christine & Daubechies, Ingrid & Brodie, Joshua, 2007. "Sparse and Stable Markowitz Portfolios," CEPR Discussion Papers 6474, C.E.P.R. Discussion Papers.
References listed on IDEAS
- Giannone, Domenico & De Mol, Christine & Daubechies, Ingrid & Brodie, Joshua, 2007.
"Sparse and Stable Markowitz Portfolios,"
CEPR Discussion Papers
6474, C.E.P.R. Discussion Papers.
- Joshua Brodie & Ingrid Daubechies & Christine De Mol & Domenico Giannone & Ignace Loris, 2007. "Sparse and stable Markowitz portfolios," Papers 0708.0046, arXiv.org, revised May 2008.
- Giannone, Domenico & De Mol, Christine & Brodie, Joshua & Daubechies, Ingrid & Loris, Ignace, 2008. "Sparse and stable Markowitz portfolios," Working Paper Series 936, European Central Bank.
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1683, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006.
"Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?,"
CEPR Discussion Papers
5829, C.E.P.R. Discussion Papers.
- Giannone, Domenico & Reichlin, Lucrezia & De Mol, Christine, 2006. "Forecasting using a large number of predictors: Is Bayesian regression a valid alternative to principal components?," Working Paper Series 700, European Central Bank.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2008.
"Forecasting using a large number of predictors: Is Bayesian shrinkage a valid alternative to principal components?,"
Journal of Econometrics, Elsevier, vol. 146(2), pages 318-328, October.
- De Mol, Christine & Giannone, Domenico & Reichlin, Lucrezia, 2006. "Forecasting using a large number of predictors: is Bayesian regression a valid alternative to principal components?," Discussion Paper Series 1: Economic Studies 2006,32, Deutsche Bundesbank.
- Reichlin, Lucrezia & Giannone, Domenico & De Mol, Christine, 2006. "Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components?," CEPR Discussion Papers 5829, C.E.P.R. Discussion Papers.
- Ravi Jagannathan & Tongshu Ma, 2003.
"Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps,"
Journal of Finance,
American Finance Association, vol. 58(4), pages 1651-1684, August.
- Ravi Jagannathan & Tongshu Ma, 2002. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers 8922, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Penalized Regression; portfolio choice; Sparse Portfolio;All these keywords.
JEL classification:
- C00 - Mathematical and Quantitative Methods - - General - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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