Weighted elastic net penalized mean-variance portfolio design and computation (Q3465255)
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scientific article; zbMATH DE number 6533895
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Weighted elastic net penalized mean-variance portfolio design and computation |
scientific article; zbMATH DE number 6533895 |
Statements
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (English)
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21 January 2016
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mean-variance portfolio
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parameter uncertainty
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weighted elastic net regularization
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statistical weight estimation
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adaptive support split-Bregman
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fast computation
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pairwise elastic net regularization
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0.8008027076721191
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0.7922260165214539
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0.75962895154953
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0.7507666945457458
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0.7380669116973877
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