A Theoretical Basis for Practitioners Heuristic 1/N and Long-Only Quintile Portfolio

Rui Zhou, Daniel P. Palomar. A Theoretical Basis for Practitioners Heuristic 1/N and Long-Only Quintile Portfolio. In 2020 IEEE International Conference on Acoustics, Speech and Signal Processing, ICASSP 2020, Barcelona, Spain, May 4-8, 2020. pages 8434-8438, IEEE, 2020. [doi]

Abstract

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