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Search: subject:"Turnover constraint"
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Sparsity and stability for minimum-variance portfolios
Husmann, Sven
;
Shivarova, Antoniya
;
Steinert, Rick
- In:
Risk Management
24
(
2022
)
3
,
pp. 214-235
techniques, combines them with sparse model approaches, and includes a
turnover
constraint
that induces stability. We use two …
Persistent link: https://www.econbiz.de/10015199557
Saved in:
2
Sparsity and stability for minimum-variance portfolios
Husmann, Sven
;
Shivarova, Antoniya
;
Steinert, Rick
- In:
Risk management : an international journal
24
(
2022
)
3
,
pp. 214-235
Persistent link: https://www.econbiz.de/10013387562
Saved in:
3
A MAXIMAL PREDICTABILITY PORTFOLIO SUBJECT TO A
TURNOVER
CONSTRAINT
TAKAYA, YOSHIHIRO
;
KONNO, HIROSHI
- In:
Asia-Pacific Journal of Operational Research (APJOR)
27
(
2010
)
01
,
pp. 1-13
turnover
constraint
. It will be shown that this approach leads to a significantly better performance than the standard MPP and …
Persistent link: https://www.econbiz.de/10008514994
Saved in:
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