Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328)
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scientific article; zbMATH DE number 6947463
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| English | Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach |
scientific article; zbMATH DE number 6947463 |
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Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (English)
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5 October 2018
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mean-variance customer portfolio
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sparse
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penalty function
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Tikhonov's regularization
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Markov decision processes
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0.7930042147636414
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0.7833938598632812
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0.7608088254928589
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0.7604278326034546
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0.7538655400276184
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