Sparsity and stability for minimum-variance portfolios
Sven Husmann, Antoniya Shivarova, Rick Steinert
| Year of publication: |
2022
|
|---|---|
| Authors: | Husmann, Sven ; Shivarova, Antoniya ; Steinert, Rick |
| Subject: | Asset selection | LASSO | Minimum-variance portfolio | Out-of-sample variance | Short-sale budget | Turnover constraint | Portfolio-Management | Portfolio selection | Theorie | Theory |
freely available
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1057/s41283-022-00091-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013387562