Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen - In: Review of Financial Studies 22 (2009) 9, pp. 3411-3447
We propose a novel approach to optimizing portfolios with large numbers of assets. We model directly the portfolio weight in each asset as a function of the asset's characteristics. The coefficients of this function are found by optimizing the investor's average utility of the portfolio's return...
