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"Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation."

Michael Ho, Zheng Sun, Jack Xin (2015)

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DOI: 10.1137/15M1007872

access: closed

type: Journal Article

metadata version: 2017-05-17

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Michael Ho, Zheng Sun, Jack Xin:
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation. SIAM J. Financial Math. 6(1): 1220-1244 (2015)

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