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1

CUSIPs, ISINs, SEDOLs, etc are identifiers for securities (stocks, bonds, and sometimes other instruments), not for companies. For example, one company might have several classes of common stock; each has its own cusip. Companies have other identifiers. As Kurtosis wrote, there's an industry trend to use LEIs as company id's. Empirically, the various ...


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Norm constraints are motivated by regularisation in regression analysis. L1 and L2 norm are similar to Ridge and Lasso Regression. The author who first introduced this method argued that it will reduce estimation error since you can think of portfolio optimisation (unconstrained) weights as OLS regression estimates, so the same logic of minimising the L1,L2 ...


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