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High-dimensional sparse portfolio selection with nonnegative constraint - MaRDI portal

High-dimensional sparse portfolio selection with nonnegative constraint (Q2700403)

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High-dimensional sparse portfolio selection with nonnegative constraint
scientific article

    Statements

    title
    High-dimensional sparse portfolio selection with nonnegative constraint (English)
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    author
    Yanyan Li
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    publication date
    21 April 2023
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    zbMATH Keywords
    portfolio selection
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    regression
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    nonconcave penalty
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    SCAD
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    cites work
    Q4614099
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    Q4864293
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    Q3174050
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    Identifiers

    Mathematics Subject Classification ID
    62Jxx
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    62Gxx
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    62Fxx
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    zbMATH DE Number
    7677128
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    OpenAlex ID
    W4311452256
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