\(l_1\)-regularization for multi-period portfolio selection
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Publication:827241
DOI10.1007/s10479-019-03308-wzbMath1455.91234arXiv1809.01460MaRDI QIDQ827241
Zelda Marino, Valentina De Simone, Stefania Corsaro, Francesca Perla
Publication date: 7 January 2021
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.01460
91G60: Numerical methods (including Monte Carlo methods)
65K05: Numerical mathematical programming methods
90C25: Convex programming
91G10: Portfolio theory
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