Sparse factor model based on trend filtering
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Publication:2070700
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Cites work
- $\ell_1$ Trend Filtering
- Adaptive piecewise polynomial estimation via trend filtering
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection
- An interactive approach to stochastic programming-based portfolio optimization
- Common risk factors in the returns on stocks and bonds
- Financial planning for Young households
- Personalized goal-based investing via multi-stage stochastic goal programming
- Risk minimization in multi-factor portfolios: what is the best strategy?
- Scenario optimization asset and liability modelling for individual investors
- Scenarios for multistage stochastic programs
- Selecting the tuning parameter of the \(\ell_1\) trend filter
- Sparse and stable Markowitz portfolios
- Stochastic optimization methods in finance and energy. New financial products and energy market strategies. Selected papers based on the presentations at the spring school of stochastic programming, Bergamo, Italy, April 10--20, 2007, and the 11th interna
- Weighted elastic net penalized mean-variance portfolio design and computation
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