Dan Luo

Temple University - Department of Finance

Fox School of Business and Management

Philadelphia, PA 19122

United States

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Regularized Mimicking Portfolios

Number of pages: 41 Posted: 17 Mar 2022
Dan Luo, Oleg Rytchkov and Xun Zhong
Temple University - Department of Finance, Temple University - Department of Finance and Fordham University - Finance Area
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Abstract:

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mimicking portfolio, regularization, cross-validation, GMM