Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation |
scientific article |
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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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