An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection (Q2288970)
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scientific article; zbMATH DE number 7153635
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| English | An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection |
scientific article; zbMATH DE number 7153635 |
Statements
An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection (English)
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20 January 2020
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portfolio optimization
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sector selection
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\(\ell_1\) regularization
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weighted \(\ell_{2,1}\) regularization
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alternating direction method of multipliers
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0.7398332357406616
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0.7392863035202026
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0.7374029159545898
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0.7278800010681152
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0.7268317341804504
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