The sparse method of simulated quantiles: An application to portfolio optimization
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Publication:6067572
DOI10.1111/stan.12141OpenAlexW2799352017WikidataQ129976594 ScholiaQ129976594MaRDI QIDQ6067572
Lea Petrella, Paola Stolfi, Mauro Bernardi
Publication date: 14 December 2023
Published in: Statistica Neerlandica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/stan.12141
portfolio optimizationSCADsparse regularizationskew-elliptical stable distributionsparse method of simulated quantiles
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