Large-scale minimum variance portfolio allocation using double regularization

Author:

Bian Zhicun,Liao Yin,O’Neill Michael,Shi Jing,Zhang Xueyong

Funder

National Social Science Fund of China

Major Program of National Fund of Philosophy and Social Science of China

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Applied Mathematics,Control and Optimization,Economics and Econometrics

Reference38 articles.

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2. Cojumps and asset allocation in international equity markets;Arouri;J. Econ. Dyn. Control,2019

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5. Portfolio Choice Problems;Brandt,2009

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