A cost-effective approach to portfolio construction with range-based risk measures (Q4991085)
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scientific article; zbMATH DE number 7353688
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A cost-effective approach to portfolio construction with range-based risk measures |
scientific article; zbMATH DE number 7353688 |
Statements
A cost-effective approach to portfolio construction with range-based risk measures (English)
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2 June 2021
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portfolio optimization
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transaction costs
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risk measures
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statistical learning theory
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\(\ell_2\)-regularized portfolios
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support vector regression
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robustness
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0.7841763496398926
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0.761676549911499
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0.7613602876663208
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0.7591037154197693
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0.7529051303863525
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