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

Journal

Management Science

Subject

Management Science and Operations

Publishing details

Management Science 2009 Vol 55:5 p 798-812

Authors / Editors

DeMiguel V; Garlappi L; Nogales F J; Uppal R

Biographies

DeMiguel V

Publication Year

2009

Keywords

Portfolio choice; Covariance matrix estimation; Estimation error; Shrinkage estimator; Norm constraints