Sparse minimax portfolio and Sharpe ratio models
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Publication:2165774
DOI10.3934/jimo.2021111MaRDI QIDQ2165774
Xiao Qi Yang, Carisa Kwok Wai Yu, Chenchen Zu
Publication date: 23 August 2022
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2021111
Sharpe ratio; short selling; \(l_p\) regularization; sparse mean-variance model; sparse minimax portfolio selection model