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Fused Lasso approach in portfolio selection - MaRDI portal

Fused Lasso approach in portfolio selection (Q2241053)

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Fused Lasso approach in portfolio selection
scientific article

    Statements

    title
    Fused Lasso approach in portfolio selection (English)
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    author
    Stefania Corsaro
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    Valentina De Simone
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    Zelda Marino
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    publication date
    8 November 2021
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    zbMATH Keywords
    multi-period portfolio optimization
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    \(l_1\)-norm
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    constrained optimization
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    split Bregman
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    cites work
    Q3079664
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    Q5580053
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    62P05
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    62J07
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    zbMATH DE Number
    7421923
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    OpenAlex ID
    W2954788275
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    Wikidata QID
    Q127730929
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