Robust minimum variance portfolio with L-infinity constraints
Year of publication: |
2014
|
---|---|
Authors: | Xing, Xin ; Hu, Jinjin ; Yang, Yaning |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 46.2014, C, p. 107-117
|
Publisher: |
Elsevier |
Subject: | Minimum variance portfolio | Norm constraints | Sparsity | Clustering | Robust |
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