A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

DeMiguel, V and Garlappi, L and 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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Official URL: http://pubsonline.informs.org/doi/abs/10.1287/mnsc...
Item Type: Article
Subject Areas: Management Science and Operations
DOI: 10.1287/mnsc.1080.0986
Date Deposited: 17 May 2016 11:55
Last Modified: 17 May 2016 11:55
URI: http://lbsresearch.london.edu/id/eprint/330

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