Joshua Brodie

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

SCHOLARLY PAPERS

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235

CITATIONS

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Scholarly Papers (1)

1.
Downloads 235 (128,384)
Citation 13

Sparse and Stable Markowitz Portfolios

ECB Working Paper No. 936
Number of pages: 23 Posted: 30 Oct 2008
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES), Federal Reserve Banks - Federal Reserve Bank of New York and Vrije Universiteit Brussel (VUB)
Downloads 230 (130,629)

Abstract:

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Portfolio Choice, Sparse Portfolio, Penalized Regression

Sparse and Stable Markowitz Portfolios

CEPR Discussion Paper No. DP6474
Number of pages: 20 Posted: 30 May 2008
Princeton University, Princeton University - Department of Mathematics, Free University of Brussels (VUB/ULB) - European Center for Advanced Research in Economics and Statistics (ECARES) and Federal Reserve Banks - Federal Reserve Bank of New York
Downloads 5 (632,381)
Citation 37
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Abstract:

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Penalized Regression, Portfolio Choice, Sparse Portfolio