Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach |
scientific article |
Statements
Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (English)
0 references
5 October 2018
0 references
mean-variance customer portfolio
0 references
sparse
0 references
penalty function
0 references
Tikhonov's regularization
0 references
Markov decision processes
0 references
