An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection

DOI10.1007/s10479-019-03189-zzbMath1434.62220MaRDI QIDQ2288970

Ning Zhang, Jingnan Chen, Gengling Dai

Publication date: 20 January 2020

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-019-03189-z

zbMATH Keywords

portfolio optimization; alternating direction method of multipliers; \(\ell_1\) regularization; weighted \(\ell_{2,1}\) regularization; sector selection

Mathematics Subject Classification ID

62J07: Ridge regression; shrinkage estimators (Lasso)

62P05: Applications of statistics to actuarial sciences and financial mathematics

91G10: Portfolio theory

Uses Software

• glasso