Sparse Mean-Variance Portfolios : A Penalized Utility Approach

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian investor, our approach produces a small portfolio from many potential assets while acknowledging uncertainty in asset returns and parameter estimates. We demonstrate the procedure using static and dynamic models for asset returns

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Year of publication:	2016
Authors:	Puelz, David
Other Persons:	Hahn, P. Richard (contributor) ; Carvalho, Carlos M. (contributor)
Publisher:	[2016]: [S.l.] : SSRN
Subject:	Portfolio-Management \| Portfolio selection \| Theorie \| Theory \| Nutzen \| Utility \| Nutzenfunktion \| Utility function

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