Publication Date:
2014-01-01
Description:
We study different implementations of the sparse portfolio construction and rebalancing method introduced by Brodie et al. (Brodie, J., I. Daubechies, C. De Mol, D. Giannone, and I. Loris. 2009. “Sparse and Stable Markowitz Portfolios.”
Print ISSN:
1081-1826
Electronic ISSN:
1558-3708
Topics:
Mathematics
,
Economics
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