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 0025-1909

Official URL: http://pubsonline.informs.org/doi/abs/10.1287/mnsc...

DOI: https://doi.org/10.1287/mnsc.1080.0986

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Item Type:	Article
Subject Areas:	Management Science and Operations
Date Deposited:	17 May 2016 11:55
Last Modified:	05 Nov 2024 02:41
URI:	https://lbsresearch.london.edu/id/eprint/330

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