Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226)
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scientific article; zbMATH DE number 7441214
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization |
scientific article; zbMATH DE number 7441214 |
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Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (English)
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8 December 2021
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portfolio optimization
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minimum variance portfolio
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\(\ell_{1, 2}\)-norm regularization
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proximal augmented Lagrange method
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out-of-sample performance
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