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Table 1 List of proposed and selected alternative portfolio strategies

From: Research on regularized mean–variance portfolio selection strategy with modified Roy safety-first principle

Symbol Description
RSMt \(l_1\)- Squared \(l_2\) penalized mean-Roy safety-first portfolio
RSMVt \(l_1\)- Squared \(l_2\) penalized mean–variance-Roy safety-first portfolio
minVu Sample minimum variance without short sale constraint portfolio
minVc Sample minimum variance with short sale constraint portfolio
MV Sample mean–variance portfolio
1/N Equally-weighted portfolio
\(l_1\)-MV \(l_1\) penalized mean–variance portfolio with short sale constraint (Brodie et al. 2009)
TMN Linear combination of sample tangency portfolio, sample minimum variance portfolio and 1/N portfolio (Tu and Zhou 2011)
VD Minimum variance portfolio resulting from using a diagonal covariance matrix (Kirby and Ostdiek 2012)