Vast Portfolio Selection With Gross-Exposure Constraints
Author(s): Fan, Jianqing; Zhang, Jingjin; Yu, Ke
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http://arks.princeton.edu/ark:/88435/pr1gq3r| 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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