Asset allocation strategies based on penalized quantile regression (Q1789637)

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Asset allocation strategies based on penalized quantile regression
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    title
    Asset allocation strategies based on penalized quantile regression (English)
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    author
    Giovanni Bonaccolto
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    Massimiliano Caporin
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    Sandra Paterlini
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    publication date
    10 October 2018
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    Mathematics Subject Classification ID
    62P05
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    62G08
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    91G10
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    zbMATH DE Number
    6950401
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    zbMATH Keywords
    quantile regression
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    \(\ell_1\)-norm penalty
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    asset allocation
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    OpenAlex ID
    W3121637696
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    arXiv ID
    1507.00250
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