5 citations · 7 across the 5 of their papers we have counts for
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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…
q-fin.ST2015★ 2 cited
Optimal ETF Selection for Passive Investing
David Puelz, Carlos M. Carvalho, P. Richard Hahn
This paper considers the problem of isolating a small number of exchange traded funds (ETFs) that suffice to capture the fundamental dimensions of variation in U.S. financial marke…