Long Zhao, Deepayan Chakrabarti, Kumar Muthuraman. Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio. Operations Research, 67(4):965-983, 2019. [doi]
@article{ZhaoCM19-0,
title = {Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio},
author = {Long Zhao and Deepayan Chakrabarti and Kumar Muthuraman},
year = {2019},
doi = {10.1287/opre.2019.1858},
url = {https://doi.org/10.1287/opre.2019.1858},
researchr = {https://researchr.org/publication/ZhaoCM19-0},
cites = {0},
citedby = {0},
journal = {Operations Research},
volume = {67},
number = {4},
pages = {965-983},
}