I am looking at a backtesting framework where the authors do a simplex projection to get final long-only weights. They also have a version with Euclidean projection to simplex.

I wanted to understand the efficacy and significance of both these methods.

  • $\begingroup$ Apparently simplex projection is a procedure to reduce the number of non-zero weights i.e. to make the portfolio sparse. I don't know any more other than it was described by Giannone et al. ecb.europa.eu/pub/pdf/scpwps/ecbwp936.pdf (2008) If you have any other sources of info please share with us. $\endgroup$ – Alex C Oct 28 '19 at 23:01

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