\(l_1\)-regularization for multi-period portfolio selection (Q827241)
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scientific article; zbMATH DE number 7290918
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| English | \(l_1\)-regularization for multi-period portfolio selection |
scientific article; zbMATH DE number 7290918 |
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\(l_1\)-regularization for multi-period portfolio selection (English)
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7 January 2021
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The authors present a model for the multi-period portfolio selection problem, based on a time consistent dynamic risk measure. The nonsmooth optimization core problem, with equality constraints, requires a modified Bregman iterative procedure, that adaptively sets the value of the regularization parameter in order to produce solutions with desired financial properties. They validate their approach by showing results of tests performed on real data.
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portfolio optimization
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time consistency
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\(l_1\) norm
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constrained optimization
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0.8176040649414062
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0.8100128173828125
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0.7899752855300903
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0.786652684211731
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0.7808350920677185
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