Trimability and Fast Optimization of Long–Short Portfolios

By B. Jacobs, Kenneth N. Levy, Harry M. Markowitz. 2006

48 citations recorded by the source corpus.

Subfields: Demography, Management Science and Operations Research, Ocean Engineering

View Paper: https://www.semanticscholar.org/paper/e535d01fa07c376ca515d41a1f57db8cd7e76cf7

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In Management Science and Operations Research

1. Robert O. Michaud
2. Richard O. Michaud

Citations in the corpus

• Estimation Error and Portfolio Optimization: A Resampling Solution (2007, background): “49 Long–short optimized portfolios generally need to satisfy certain conditions ( Jacobs et al., 2006a ) in order to have practical investment value.”