A basket half full: sparse portfolios

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DOI10.1080/14697688.2023.2269997arXiv2011.04278OpenAlexW3122082319MaRDI QIDQ6127435

Unnamed Author

Publication date: 12 April 2024

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2011.04278

zbMATH Keywords

high dimensionality portfolio optimization approximate factor model de-biasing factor investing post-Lasso

Mathematics Subject Classification ID

Portfolio theory (91G10)

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