Resolution of degeneracy in Merton's portfolio problem (Q2953941)
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scientific article; zbMATH DE number 6673560
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Resolution of degeneracy in Merton's portfolio problem |
scientific article; zbMATH DE number 6673560 |
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Resolution of Degeneracy in Merton's Portfolio Problem (English)
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11 January 2017
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high-dimensional portfolio
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Merton's problem
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expected utility maximization
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constrained \(\ell_1\)-minimization
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Dantzig selector
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sparsity
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0.7927649617195129
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0.7732731699943542
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0.7623536586761475
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0.7476531863212585
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