Table 1 List of proposed and selected alternative portfolio strategies
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) |