@inproceedings{jianqingasset,
title={Asset allocation with gross exposure constraints for vast portfolios},
author={Jianqing Fan, Jingjin Zhang, and Ke Yu},
url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114416041967995},
booktitle={Unpublished paper: Bendheim Center for Finance, Princeton University},
}
Jianqing Fan, Jingjin Zhang, and Ke Yu. Asset allocation with gross exposure constraints for vast portfolios. In Unpublished paper: Bendheim Center for Finance, Princeton University. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20191221114416041967995.