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Vast Portfolio Selection With Gross-Exposure Constraints

Author(s): Fan, Jianqing; Zhang, Jingjin; Yu, Ke

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Publication Date: Jun-2012
Citation: Fan, Jianqing, Zhang, Jingjin, Yu, Ke. (2012). Vast Portfolio Selection With Gross-Exposure Constraints. Journal of the American Statistical Association, 107 (498), 592 - 606. doi:10.1080/01621459.2012.682825
DOI: doi:10.1080/01621459.2012.682825
ISSN: 0162-1459
EISSN: 1537-274X
Pages: 592 - 606
Type of Material: Journal Article
Journal/Proceeding Title: Journal of the American Statistical Association

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