A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A linear programming model for selection of sparse high-dimensional multiperiod portfolios |
scientific article |
Statements
A linear programming model for selection of sparse high-dimensional multiperiod portfolios (English)
0 references
19 November 2018
0 references
investment analysis
0 references
high-dimensional portfolio selection
0 references
dynamic mean-variance portfolio
0 references
\(ell_1\) minimization
0 references
sparse portfolio
0 references
0 references
0 references
0 references
0 references
