\(l_1\)-regularization for multi-period portfolio selection

DOI10.1007/s10479-019-03308-wzbMath1455.91234arXiv1809.01460OpenAlexW2958002989MaRDI QIDQ827241

Zelda Marino, Valentina De Simone, Stefania Corsaro, Francesca Perla

Publication date: 7 January 2021

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1809.01460

zbMATH Keywords

constrained optimizationportfolio optimizationtime consistency\(l_1\) norm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical mathematical programming methods (65K05) Convex programming (90C25) Portfolio theory (91G10)

Related Items

Sparse Approximations with Interior Point Methods, Two-stage international portfolio models with higher moment risk measures, A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers, Fused Lasso approach in portfolio selection

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