Before revision:  In addition to their excellent performance, these portfolios have only a small number of active positions, a highly desirable attribute for real life applications. We conclude by discussing a collection of portfolio construction problems which can be naturally translated into optimizations involving \ell_1 penalties and which can thus be tackled by algorithms similar to those discussed here .
After revision:  In addition to their excellent performance, these portfolios have only a small number of active positions, a desirable feature for small investors, for whom the fixed overhead portion of the transaction cost is not negligible .