Some new efficient mean-variance portfolio selection models
Year of publication: |
2022
|
---|---|
Authors: | Dai, Zhifeng ; Kang, Jie |
Published in: |
International journal of finance & economics : IJFE. - Chichester [u.a.] : Wiley, ISSN 1099-1158, ZDB-ID 1493204-0. - Vol. 27.2022, 4, p. 4784-4796
|
Subject: | L1-regularization | Mean-variance portfolio selection | robust optimization | shrinkage method | Theorie | Theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming |
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