scientific article; zbMATH DE number 7008319
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Publication:4614099
zbMath1420.91422MaRDI QIDQ4614099
Zhao-Rong Lai, Liangda Fang, Xiaotian Wu, Pei-Yi Yang
Publication date: 30 January 2019
Full work available at URL: http://jmlr.csail.mit.edu/papers/v19/17-558.html
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)
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Adaptive online portfolio strategy based on exponential gradient updates ⋮ Unnamed Item ⋮ Closed-form solutions for short-term sparse portfolio optimization ⋮ High-dimensional sparse portfolio selection with nonnegative constraint ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization ⋮ Online portfolio selection with long-short term forecasting
Uses Software
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