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Year of publication
Subject
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Portfolio-Management 9 Portfolio selection 8 Theorie 7 Mathematical programming 6 Mathematische Optimierung 6 Theory 6 Sparse portfolio 5 Penalized Regression 3 Portfolio Choice 3 Portfolio optimization 3 Sparse Portfolio 3 Algorithm 1 Algorithmus 1 Alternating direction method of multipliers 1 Analysis of variance 1 Artificial intelligence 1 Bayes-Statistik 1 Bayesian inference 1 Bayesian modelling 1 Business cycle 1 Capital income 1 Clustering 1 Convergence analysis 1 Correlation 1 Cyclical coordinate descent 1 Dynamic mean-variance portfolio 1 Estimation 1 Estimation theory 1 Foreign portfolio investment 1 Greedy algorithm 1 High-dimensional portfolio selection 1 Index tracking 1 India 1 Indien 1 Investment analysis 1 Kapitalanlage 1 Kapitaleinkommen 1 Konjunktur 1 Korrelation 1 Künstliche Intelligenz 1
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Online availability
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Undetermined 10 Free 2
Type of publication
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Article 9 Book / Working Paper 3
Type of publication (narrower categories)
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Article in journal 8 Aufsatz in Zeitschrift 8 Working Paper 1
Language
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English 10 Undetermined 2
Author
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Brodie, Joshua 3 Daubechies, Ingrid 3 De Mol, Christine 3 Giannone, Domenico 3 Kim, Jang Ho 2 Kim, Min Jeong 2 Kim, Woo Chang 2 Lee, Yongjae 2 Loris, Ignace 2 Allen-Zhao, Zhihua 1 Behera, Jyotirmayee 1 Bertsimas, Dimitris 1 Calderhead, Ben 1 Cory-Wright, Ryan 1 Ge, Zhili 1 Gotoh, Jun-ya 1 Griveau-Billion, T. 1 Jang, Ju Ri 1 Jiang, Binyan 1 Kawahara, Yoshinobu 1 Kumar, Pankaj 1 Liu, Cheng 1 Niranjan, Mahesan 1 Pun, Chi Seng 1 Sun, Kexin 1 Takeda, Akiko 1 Tang, Cheng Yong 1 Wong, Hoi Ying 1 Wu, Zhongming 1 Zeng, Tieyong 1
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Institution
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C.E.P.R. Discussion Papers 1 European Central Bank 1
Published in...
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European journal of operational research : EJOR 2 CEPR Discussion Papers 1 Computational Management Science 1 ECB Working Paper 1 INFORMS journal on computing : JOC ; charting new directions in operations research and computer science ; a journal of the Institute for Operations Research and the Management Sciences 1 Journal of financial econometrics 1 Journal of the Operational Research Society 1 Operational research : an international journal 1 Operations research letters 1 Quantitative finance 1 Working Paper Series / European Central Bank 1
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Source
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ECONIS (ZBW) 8 RePEc 3 EconStor 1
Showing 11 - 12 of 12
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Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
Takeda, Akiko; Niranjan, Mahesan; Gotoh, Jun-ya; … - In: Computational Management Science 10 (2013) 1, pp. 21-49
sparse portfolio has good tracking and generalization performance on historic data of weekly and monthly returns on the …
Persistent link: https://www.econbiz.de/10010634340
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Cover Image
Sparse and Stable Markowitz Portfolios
Brodie, Joshua; Daubechies, Ingrid; De Mol, Christine; … - C.E.P.R. Discussion Papers - 2007
The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 years. However, efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been plagued by technical difficulties stemming from the...
Persistent link: https://www.econbiz.de/10005504227
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