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Large-scale minimum variance portfolio allocation using double regularization
Bian, Zhicun, Liao, Yin, OâNeill, Michael, Shi, Jing, Zhang, XueyongVolume:
116
Journal:
Journal of Economic Dynamics and Control
DOI:
10.1016/j.jedc.2020.103939
Date:
July, 2020
File:
PDF, 697 KB
2020