A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547)
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scientific article; zbMATH DE number 7348558
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection |
scientific article; zbMATH DE number 7348558 |
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A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (English)
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17 May 2021
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direct estimation
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iterative algorithm
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self-calibrated regularization
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oracle inequality
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relative-volatility timing
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market-sensitive asset selection
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