Markowitz H. Portfolio selection[J]. The Journal of Finance, 1952, 7(1): 77-91.
[2]
Jagannathan R, Ma Tongshu. Risk reduction in large portfolios: Why imposing the wrong constraints helps[J]. The Journal of Finance, 2003, 58(4): 1651-1684.
[3]
Tibshirani R. Regression shrinkage and selection via the lasso[J]. Journal of the Royal Statistical Society. Series B (Methodological), 1996,58(11): 267-288.
[4]
Brodie J, Daubechies I, De Mol C, et al. Sparse and stable Markowitz portfolios[J]. Proceedings of the National Academy of Sciences, 2009, 106(30): 12267-12272.
[5]
DeMiguel V, Garlappi L, Nogales F J, et al. A generalized approach to portfolio optimization: improving performance by constraining portfolio norms[J]. Management Science, 2009, 55(5): 798-812.
[6]
Hoerl A E, Kennard R W. Ridge regression: Biased estimation for nonorthogonal problems[J]. Technometrics, 1970, 12(1): 55-67.
[7]
Yen Y M. A note on sparse minimum variance portfolios and coordinate-wise descent algorithms. Working Paper, Available at SSRN 1604093, 2010.
[8]
Zou Hui, Hastie T. Regularization and variable selection via the elastic net[J]. Journal of the Royal Statistical Society: Series B (Statistical Methodology), 2005, 67(2): 301-320.
[9]
Carrasco M,Noumon N. Optimal portfolio selection using regularization. Working Paper, Université de Montréal, 2011.
[10]
Fan Jianqing, Zhang Jingjin, Yu Ke. Vast portfolio selection with gross-exposure constraints[J]. Journal of the American Statistical Association, 2012, 107(498): 592-606.
[11]
Fernandes M, Rocha G, Souza T. Regularized minimum variance portfolios using asset group information[J]. Working Paper, Bradford University,2011.
[12]
Li Caiyan, Li Hongzhe. Variable selection and regression analysis for graph-structured covariates with an application to genomics[J]. The Annals of Applied Statistics, 2010, 4(3): 1498-1516.
[13]
Huang Jian, Ma Shuangge, Li Hongzhe, et al. The sparse laplacian shrinkage estimator for high-dimensional regression[J]. Annals of Statistics, 2011, 39(4): 2021-2046.
[14]
Friedman J, Hastie T,H？fling H, et al. Pathwise coordinate optimization[J]. The Annals of Applied Statistics, 2007, 1(2): 302-332.
