DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management Science 55 (2009) 5, pp. 798-812
that the norm of the portfolio-weight vector be smaller than a given threshold. We show that our framework nests as special … estimation of the covariance matrix of stock returns with an application to portfolio selection. J. Empirical Finance 10 603 … Anal. 88 365-411) and the 1/N portfolio studied in DeMiguel et al. (DeMiguel, V., L. Garlappi, R. Uppal. 2009. Optimal …