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

DOI10.1093/IMAMAN/DPZ013MaRDI QIDQ5125040zbMATH OpenOpenAlexWikidataFDO

Authors Zhongyu Li, Ka Ho Tsang, Hoi Ying Wong

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

high-dimensional regressionLassomean-varianceMonte Carlo simulationportfolio optimization

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cited in

(8)

• Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.
• Efficient social distancing during the COVID-19 pandemic: integrating economic and public health considerations
• Deep-Learning Solution to Portfolio Selection with Serially Dependent Returns
• Beating a Benchmark: Dynamic Programming May Not Be the Right Numerical Approach
• Across-time risk-aware strategies for outperforming a benchmark
• Neural network approach to portfolio optimization with leverage constraints: a case study on high inflation investment
• Time-consistent investment and reinsurance strategies under thinning-dependence structure
• A Global-in-Time Neural Network Approach to Dynamic Portfolio Optimization

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