Sparse Portfolio Selection via Quasi-Norm Regularization
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Cited by:
- William Lefebvre & Gregoire Loeper & Huy^en Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Papers 2009.08214, arXiv.org, revised Sep 2020.
- Willliam Lefebvre & Gregoire Loeper & Huyên Pham, 2020. "Mean-variance portfolio selection with tracking error penalization," Working Papers hal-02941289, HAL.
- Margherita Giuzio & Sandra Paterlini, 2019.
"Un-diversifying during crises: Is it a good idea?,"
Computational Management Science, Springer, vol. 16(3), pages 401-432, July.
- Margherita Giuzio & Sandra Paterlini, 2016. "Undiversifying during Crises: Is It a Good Idea?," Working Papers (Old Series) 1628, Federal Reserve Bank of Cleveland.
- William Lefebvre & Grégoire Loeper & Huyên Pham, 2020. "Mean-Variance Portfolio Selection with Tracking Error Penalization," Mathematics, MDPI, vol. 8(11), pages 1-23, November.
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