Sparse minimax portfolio and Sharpe ratio models (Q2165774)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse minimax portfolio and Sharpe ratio models |
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Sparse minimax portfolio and Sharpe ratio models (English)
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23 August 2022
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sparse minimax portfolio selection model
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Sharpe ratio
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short selling
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sparse mean-variance model
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\(l_p\) regularization
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