A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection (Q5034163)
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scientific article; zbMATH DE number 7480913
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection |
scientific article; zbMATH DE number 7480913 |
Statements
A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection (English)
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24 February 2022
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MAD-Lasso
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portfolio selection
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constrained LAD Lasso
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nonsmooth optimality conditions
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Sharpe ratio
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sparsity
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