Beating the market with small portfolios: Evidence from Brazil
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Cited by:
- Xia, Siwei & Yang, Yuehan & Yang, Hu, 2023. "High-dimensional sparse portfolio selection with nonnegative constraint," Applied Mathematics and Computation, Elsevier, vol. 443(C).
- Yuezhang Che & Shuyan Chen & Xin Liu, 2022. "Sparse Index Tracking Portfolio with Sector Neutrality," Mathematics, MDPI, vol. 10(15), pages 1-22, July.
- Nadège Ribau-Peltre & Pascal Damel & An Lethi, 2018. "A methodology to avoid over-diversification of funds of equity funds An implementation case study for equity funds of funds in bull markets," Post-Print hal-03027770, HAL.
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Keywords
Bootstrap; Cardinality constraint; Graduated non-convexity; Shrinkage estimator;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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