The sparse method of simulated quantiles: An application to portfolio optimization (Q6067572)
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scientific article; zbMATH DE number 7778340
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| English | The sparse method of simulated quantiles: An application to portfolio optimization |
scientific article; zbMATH DE number 7778340 |
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The sparse method of simulated quantiles: An application to portfolio optimization (English)
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14 December 2023
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portfolio optimization
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SCAD
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skew-elliptical stable distribution
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sparse method of simulated quantiles
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sparse regularization
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0.7501683235168457
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0.7177358865737915
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0.7065163254737854
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0.7030538320541382
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