Chi Seng Pun. A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection. SIAM J. Financial Math., 12(1):410-445, 2021. [doi]
@article{Pun21,
title = {A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection},
author = {Chi Seng Pun},
year = {2021},
doi = {10.1137/19M1291674},
url = {https://doi.org/10.1137/19M1291674},
researchr = {https://researchr.org/publication/Pun21},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {12},
number = {1},
pages = {410-445},
}