Constructing optimal sparse portfolios using regularization methods (Q2355718)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Constructing optimal sparse portfolios using regularization methods |
scientific article |
Statements
Constructing optimal sparse portfolios using regularization methods (English)
0 references
24 July 2015
0 references
minimum variance portfolio
0 references
statistical regularization
0 references
Lasso
0 references
non-convex penalties
0 references
0 references
0 references
