A linear programming model for selection of sparse high-dimensional multiperiod portfolios
This paper studies the mean-variance (MV) portfolio problems under static and dynamic settings, particularly for the case in which the number of assets (p) is larger than the number of observations (n). We prove that the classical plug-in estimation seriously distorts the optimal MV portfolio in the...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Journal Article |
| Language: | English |
| Published: |
2018
|
| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/87897 http://hdl.handle.net/10220/46617 |