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

Victor DeMiguel; Lorenzo Garlappi; Francisco J. Nogales; Raman Uppal

Year of publication:	2009
Authors:	DeMiguel, Victor ; Garlappi, Lorenzo ; Nogales, Francisco J. ; Uppal, Raman
Published in:	Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 55.2009, 5, p. 798-812
Subject:	Portfolio-Management \| Portfolio selection \| Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Statistischer Fehler \| Statistical error

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