Fused Lasso approach in portfolio selection
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Publication:2241053
DOI10.1007/s10479-019-03289-wzbMath1476.91145OpenAlexW2954788275WikidataQ127730929 ScholiaQ127730929MaRDI QIDQ2241053
Stefania Corsaro, Zelda Marino, Valentina De Simone
Publication date: 8 November 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-019-03289-w
Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Related Items (4)
Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection ⋮ Sparse Approximations with Interior Point Methods ⋮ Distributionally robust optimization with Wasserstein metric for multi-period portfolio selection under uncertainty ⋮ A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers
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