Constructing optimal sparse portfolios using regularization methods
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Publication:2355718
DOI10.1007/s10287-014-0227-5zbMath1355.91077OpenAlexW3125319238MaRDI QIDQ2355718
Peter Winker, Sandra Paterlini, Björn Fastrich
Publication date: 24 July 2015
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-014-0227-5
Ridge regression; shrinkage estimators (Lasso) (62J07) Linear regression; mixed models (62J05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
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