A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825)
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scientific article; zbMATH DE number 6981610
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A linear programming model for selection of sparse high-dimensional multiperiod portfolios |
scientific article; zbMATH DE number 6981610 |
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A linear programming model for selection of sparse high-dimensional multiperiod portfolios (English)
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19 November 2018
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investment analysis
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high-dimensional portfolio selection
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dynamic mean-variance portfolio
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\(ell_1\) minimization
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sparse portfolio
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0.9103602
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0.9004821
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0.8913202
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0.8908746
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0.88866955
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0.8873365
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