most citedDecoupling shrinkage and selection in Bayesian linear models: a posterior summary perspective

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q-fin.ST2015

Sparse Mean-Variance Portfolios: A Penalized Utility Approach

David Puelz, P. Richard Hahn, Carlos M. Carvalho

This paper considers mean-variance optimization under uncertainty, specifically when one desires a sparsified set of optimal portfolio weights. From the standpoint of a Bayesian in…