Sparse minimax portfolio and Sharpe ratio models (Q2165774): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Removed claim: author (P16): Item:Q380501 |
||
| Property / author | |||
| Property / author: Q200495 / rank | |||
Revision as of 05:42, 14 February 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse minimax portfolio and Sharpe ratio models |
scientific article |
Statements
Sparse minimax portfolio and Sharpe ratio models (English)
0 references
23 August 2022
0 references
sparse minimax portfolio selection model
0 references
Sharpe ratio
0 references
short selling
0 references
sparse mean-variance model
0 references
\(l_p\) regularization
0 references
