SSRN Electronic Journal · 2012 · 21 citations · 32 references
BusinessFinanceFinancial EconomicsOptimizationPortfolio ManagementBias-variance TradeoffPortfolio AnalyticsPortfolio ConstructionPortfolio OptimizationPortfolio SelectionPortfolio TheoryAlternative PenaltiesAsset PortfoliosCovariance Matrix EstimationHigh-dimensional StatisticsL1 RegularizationMarkowitz Portfolio TheoryPortfolio Selection TheoryRegularized Estimation
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Ridge Regression: Biased Estimation for Nonorthogonal Problems
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