Lasso-based simulation for high-dimensional multi-period portfolio optimization

DOI10.1093/imaman/dpz013MaRDI QIDQ5125040

Hoi Ying Wong, Zhongyu Li, Ka Ho Tsang

Publication date: 30 September 2020

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz013

zbMATH Keywords

Monte Carlo simulation; portfolio optimization; high-dimensional regression; Lasso; mean-variance

Mathematics Subject Classification ID

90-XX: Operations research, mathematical programming

91-XX: Game theory, economics, finance, and other social and behavioral sciences