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Sparse Portfolio Selection via the sorted ℓ1 - Norm
Kremer, Philipp J., Lee, Sangkyun, Bogdan, Małgorzata, Paterlini, SandraLanguage:
english
Journal:
Journal of Banking & Finance
DOI:
10.1016/j.jbankfin.2019.105687
Date:
November, 2019
File:
PDF, 1.00 MB
english, 2019