DeMiguel, Victor; Garlappi, Lorenzo; Nogales, Francisco J. - 2007
A Generalized Approach to Portfolio Optimization:
Improving Performance By Constraining Portfolio Norms∗
Victor … terms of portfo-
lio variance, Sharpe ratio, and turnover), the out-of-sample performance of the new portfolios
we propose … Considered . . . . . . . . . . . . . . . . . . . . . . . . . 49
C.4 Description of the Methodology Used to Evaluate Performance …