Ignace Loris

Vrije Universiteit Brussel (VUB)

Pleinlaan 2

http://www.vub.ac.be/

Brussels, 1050

Belgium

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Citation 2

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)
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Abstract:

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Portfolio Choice, Sparse Portfolio, Penalized Regression