@article{dynamicportfolioallocationinhigh,
  title = {Dynamic Portfolio Allocation in High Dimensions using Sparse Risk Factors},
  author = {Bruno P. C. Levy and Hedibert F. Lopes},
  year = {2021},
  eprint = {2105.06584},
  archivePrefix = {arXiv},
  url = {https://arxiv.org/abs/2105.06584v2},
}