Xing, Xin; Hu, Jinjin; Yang, Yaning - In: Journal of Banking & Finance 46 (2014) C, pp. 107-117
Portfolios selected based on the sample covariance estimates may not be stable or robust, particularly so in situations with a large number of assets. The l1 or l2 norm constrained portfolio optimization method has been used as a robust method to control the sparsity or to shrink the estimated...