High-dimensional sparse portfolio selection with nonnegative constraint

DOI10.1016/j.amc.2022.127766OpenAlexW4311452256MaRDI QIDQ2700403

Yanyan Li

Publication date: 21 April 2023

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2022.127766

zbMATH Keywords

regressionportfolio selectionSCADnonconcave penalty

Mathematics Subject Classification ID

Linear inference, regression (62Jxx) Parametric inference (62Fxx) Nonparametric inference (62Gxx)

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