An application of sparse-group lasso regularization to equity portfolio optimization and sector selection
Year of publication: |
2020
|
---|---|
Authors: | Chen, Jingnan ; Dai, Gengling ; Zhang, Ning |
Published in: |
Annals of operations research ; volume 284, numbers 1 (January 2020). - New York, NY, USA : Springer. - 2020, p. 243-262
|
Subject: | Portfolio optimization | Sector selection | L1 regularization | Weighted L2,1 regularization | Alternating direction method of multipliers | Theorie | Theory | Portfolio-Management | Portfolio selection |
-
Sparse portfolio selection via the sorted l1-Norm
Kremer, Philipp J., (2020)
-
Dynamic portfolio selection under capital-at-risk with no short-selling constraints
Dmitrašinović-Vidović, Gordana, (2011)
-
Keçeci, Neslihan Fidan, (2016)
- More ...
-
Beware of Popular Kids Bearing Gifts: A Framed Field Experiment
Chen, Jingnan, (2014)
-
Optimal deleveraging with nonlinear temporary price impact
Chen, Jingnan, (2015)
-
Beware of popular kids bearing gifts : a framed field experiment
Chen, Jingnan, (2014)
- More ...