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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms

Victor DeMiguel; Lorenzo Garlappi; Francisco J. Nogales; Raman Uppal
Year of publication:
16 July 2007
Authors: DeMiguel, Victor ; Garlappi, Lorenzo ; Nogales, Francisco J. ; Uppal, Raman
Publisher: London : Inst. of Finance and Accounting
Subject: Portfolio-Management | Portfolio selection | Absatz | Sales | Kointegration | Cointegration | Theorie | Theory | Sharpe Ratio
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