Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Resolution of Degeneracy in Merton's Portfolio Problem |
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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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