A generalized approach to portfolio optimization: improving performance by constraining portfolio norms

DeMiguel, V, Garlappi, L, Nogales, F J and Uppal, R (2009) A generalized approach to portfolio optimization: improving performance by constraining portfolio norms. Management Science, 55 (5). pp. 798-812. ISSN 1526-5501

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Item Type: Article
Subject Areas: Management Science and Operations
Date Deposited: 17 May 2016 11:55
Last Modified: 18 Jul 2018 16:03
URI: http://lbsresearch.london.edu/id/eprint/330
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