A cost-effective approach to portfolio construction with range-based risk measures (Q4991085)
From MaRDI portal
scientific article; zbMATH DE number 7353688
| Language | Label | Description | Also known as |
|---|---|---|---|
| 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)
0 references
2 June 2021
0 references
portfolio optimization
0 references
transaction costs
0 references
risk measures
0 references
statistical learning theory
0 references
\(\ell_2\)-regularized portfolios
0 references
support vector regression
0 references
robustness
0 references
0 references
0 references
0 references
