DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - 2007
to minimum-variance portfolio selection is related also to a number of
approaches proposed in the statistics and … particular case of the
norm-constrained portfolios.
The partial minimum-variance portfolios are the counterpart in portfolio … selection to the sta-
tistical technique of partial least squares for regression analysis, which has been shown to perform
very …