Penalized least squares for optimal sparse portfolio selection (Q3295342)
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scientific article; zbMATH DE number 7218969
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| English | Penalized least squares for optimal sparse portfolio selection |
scientific article; zbMATH DE number 7218969 |
Statements
8 July 2020
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penalized least squares
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regularization
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Lasso
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non-convex penalties
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minimum variance portfolios
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0.8863452672958374
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0.8640715479850769
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0.8484448194503784
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0.804097592830658
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0.803749144077301
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