Large-scale minimum variance portfolio allocation using double regularization
Zhicun Bian, Yin Liao, Michael O'Neill, Jing Shi, Xueyong Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Bian, Zhicun ; Liao, Yin ; O'Neill, Michael ; Shi, Jing ; Zhang, Xueyong |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 116.2020, p. 1-16
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| Subject: | Curse of dimensionality | Doubly regularization | Large-scale portfolio | Rolling window | Temporal instability | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2020.103939 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012503240