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Sparse Weighted-Norm Minimum Variance Portfolios

顏佑銘 & Yu-MinYen

Review of Finance2015article
FT50AJG 4ABDC A*
Weight
0.34

Abstract

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1 citation

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@article{顏佑銘2015,
  title        = {{Sparse Weighted-Norm Minimum Variance Portfolios}},
  author       = {顏佑銘 & Yu-MinYen},
  journal      = {Review of Finance},
  year         = {2015},
}

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Sparse Weighted-Norm Minimum Variance Portfolios

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Evidence weight

0.34

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.00 × 0.4 = 0.00
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.