Sparse and stable Markowitz portfolios
暂无分享,去创建一个
[1] A. Lo,et al. THE ECONOMETRICS OF FINANCIAL MARKETS , 1996, Macroeconomic Dynamics.
[2] R. Tibshirani. Regression Shrinkage and Selection via the Lasso , 1996 .
[3] Michael A. Saunders,et al. Atomic Decomposition by Basis Pursuit , 1998, SIAM J. Sci. Comput..
[4] Mario Bertero,et al. Introduction to Inverse Problems in Imaging , 1998 .
[5] Wolfgang Osten,et al. Introduction to Inverse Problems in Imaging , 1999 .
[6] M. R. Osborne,et al. On the LASSO and its Dual , 2000 .
[7] M. R. Osborne,et al. A new approach to variable selection in least squares problems , 2000 .
[8] G. Lauprête. Portfolio risk minimization under departures from normality , 2001 .
[9] R. Jagannathan,et al. Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps , 2002 .
[10] I. Daubechies,et al. An iterative thresholding algorithm for linear inverse problems with a sparsity constraint , 2003, math/0307152.
[11] R. Tibshirani,et al. Least angle regression , 2004, math/0406456.
[12] Geert Bekaert,et al. International Stock Return Comovements , 2005 .
[13] C. De Mol,et al. Forecasting Using a Large Number of Predictors: Is Bayesian Regression a Valid Alternative to Principal Components? , 2006, SSRN Electronic Journal.
[14] Sticky Information Phillips Curves: European Evidence , 2008 .
[15] Silvia Giannangeli,et al. Evolution and Sources of Manufacturing Productivity Growth: Evidence from a Panel of European Countries , 2008, SSRN Electronic Journal.
[16] D. Furceri,et al. Real Convergence in Central and Eastern European EU Member States: Which Role for Exchange Rate Volatility? , 2008, SSRN Electronic Journal.
[17] Matteo Barigozzi,et al. A Review of Nonfundamentalness and Identification in Structural VAR Models , 2008 .
[18] Roland Straub,et al. Globalisation and the Euro Area: Simulation Based Analysis Using the New Area Wide Model , 2008 .
[19] S. Dées,et al. Import price dynamics in major advanced economies and heterogeneity in exchange rate pass-through , 2008, SSRN Electronic Journal.
[20] Roberto A. De Santis,et al. Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability , 2008, SSRN Electronic Journal.
[21] Pedro Gomes,et al. Corporate Tax Competition and the Decline of Public Investment , 2008, SSRN Electronic Journal.
[22] Thierry Bracke,et al. Global Liquidity Glut or Global Savings Glut? A Structural VAR Approach , 2008, SSRN Electronic Journal.
[23] Frank Stähler,et al. Foreign Direct Investment and Environmental Taxes , 2008 .
[24] Antoine Berthou,et al. An Investigation on the Effect of Real Exchange Rate Movements on OECD Bilateral Exports , 2008 .
[25] Antonio Afonso,et al. 3-Step Analysis of Public Finances Sustainability: The Case of the European Union , 2008, SSRN Electronic Journal.
[26] Kai Philipp Christoffel,et al. Resuscitating the Wage Channel in Models with Unemployment Fluctuations , 2008 .
[27] Moreno Roma,et al. Labour Cost and Employment Across Euro Area Countries and Sectors , 2008 .
[28] Roland Beck,et al. Optimal Reserve Composition in the Presence of Sudden Stops: The Euro and the Dollar as Safe Haven Currencies , 2008, SSRN Electronic Journal.
[29] Peter McAdam,et al. Medium Run Redux: Technical Change, Factor Shares and Frictions in the Euro Area , 2008 .
[30] F. Donati,et al. Modeling and Forecasting the Yield Curve Under Model Uncertainty , 2008 .
[31] Barry Jones,et al. Does Money Matter in the IS Curve? The Case of the UK , 2008, SSRN Electronic Journal.
[32] Katja Drechsel,et al. Flow on Conjunctural Information and Forecast of Euro Area Economic Activity , 2008 .
[33] Judit Montoriol-Garriga. Bank Mergers and Lending Relationships , 2008, SSRN Electronic Journal.
[34] Klaus Schaeck,et al. How Does Competition Affect Efficiency and Soundness in Banking? New Empirical Evidence , 2008, SSRN Electronic Journal.
[35] Martin Scheicher,et al. How has CDO Market Pricing Changed During the Turmoil? Evidence from CDS Index Tranches , 2008 .
[36] Simone Manganelli,et al. The Impact of the Euro on Equity Markets: A Country and Sector Decomposition , 2008, SSRN Electronic Journal.
[37] D. Furceri,et al. Government Spending Volatility and the Size of Nations , 2008, SSRN Electronic Journal.
[38] C. Nickel,et al. Fiscal Policies, the Current Account and Ricardian Equivalence , 2008, SSRN Electronic Journal.
[39] Marco Lo Duca,et al. Country and Industry Equity Risk Premia in the Euro Area: An Intertemporal Approach , 2008, SSRN Electronic Journal.
[40] T. Peltonen,et al. Imports and Profitability in the Euro Area Manufacturing Sector: The Role of Emerging Market Economies , 2008, SSRN Electronic Journal.
[41] M. Sánchez. Monetary Stabilisation in a Currency Union of Small Open Economies , 2008 .
[42] Raman Uppal,et al. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms , 2009, Manag. Sci..
[43] I. Daubechies,et al. Sparse and stable Markowitz portfolios , 2007, Proceedings of the National Academy of Sciences.
[44] C. Patel. Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy? , 2009 .
[45] Victor DeMiguel,et al. Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? , 2009 .