A basket half full: sparse portfolios (Q6127435)
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scientific article; zbMATH DE number 7831725
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A basket half full: sparse portfolios |
scientific article; zbMATH DE number 7831725 |
Statements
A basket half full: sparse portfolios (English)
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12 April 2024
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high dimensionality
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portfolio optimization
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factor investing
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de-biasing
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post-Lasso
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approximate factor model
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0.7894838452339172
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0.7714113593101501
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0.7681987285614014
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0.7531574368476868
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0.7480882406234741
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