A Closer Look at the Minimum-Variance Portfolio Optimization Model
Recently, by imposing the regularization term to objective function or additional norm constraint to portfolio weights, a number of alternative portfolio strategies have been proposed to improve the empirical performance of the minimum-variance portfolio. In this paper, we firstly examine the relati...
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| Format: | Article |
| Language: | English |
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Hindawi Limited
2019-01-01
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| Series: | Mathematical Problems in Engineering |
| Online Access: | http://dx.doi.org/10.1155/2019/1452762 |