Chapter 1 - Thierry Roncalli's Home Page
Chapter 1 - Thierry Roncalli's Home Page
Chapter 1 - Thierry Roncalli's Home Page
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Table 1.9, <strong>Page</strong> 53Table: Solutions of penalized mean-variance optimizationMVO Ridge Lasso(NC) (C) (S) (D) (S) (D)x ⋆ 1 112.29 62.09 38.88 51.62 24.41 25.00x ⋆ 2 48.30 14.17 28.06 36.85 11.36 25.00x ⋆ 3 48.10 62.21 27.34 29.34 27.78 25.00x ⋆ 4 −39.69 −38.48 −1.57 −0.47 0.00 20.42Introduction to Risk Parity and Budgeting Modern Portfolio Theory 28 / 40