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A generalized approach to portfolio optimization : improving performance by constraining portfolio norms
DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - In: Management science : journal of the Institute for … 55 (2009) 5, pp. 798-812
Persistent link: https://www.econbiz.de/10003859991
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Keynes meets Markowitz : the trade-off between familiarity and diversification
Boyle, Phelim P.; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management science : journal of the Institute for … 58 (2012) 2, pp. 253-272
Persistent link: https://www.econbiz.de/10009512174