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In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios.
Portfolio selection
Markowitz, H. 1952 · 1952
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Optimal versus naive diversification: How inefficient is the 1/n portfolio strategy?
DeMiguel, V., L. Garlappi, R. Uppal. 2009b · 1953
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On estimating the expected return on the market: An exploratory investigation
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Keynes as an investor
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Chang, T. J., N. Meade, J. E. Beasley, Y. M. Sharaiha. 2000 · 2000
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Keynes meets markowitz: The trade-off between familiarity and diversification
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Optimal cardinality constrained portfolio selection
Gao, J. J., D. Li. 2013 · 2013
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Ambiguity in asset pricing and portfolio choice: a review of the literature
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A generalized approach to portfolio optimization: Improving performance by constraining portfolio norms
DeMiguel, V., L. Garlappi, F. J. Nogales, R. Uppal. 2009a · 2009
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ℓ 1 2 \ell_{1\over 2} regularizer
Xu, Z. B., H. Zhang, Y. Wang, X. Y. Chang. 2009 · 2009
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