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A cost-effective approach to portfolio construction with range-based risk measures - MaRDI portal

A cost-effective approach to portfolio construction with range-based risk measures (Q4991085)

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scientific article; zbMATH DE number 7353688
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English
A cost-effective approach to portfolio construction with range-based risk measures
scientific article; zbMATH DE number 7353688

    Statements

    title
    A cost-effective approach to portfolio construction with range-based risk measures (English)
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    author
    Chi Seng Pun
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    Lei Wang
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    publication date
    2 June 2021
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    zbMATH DE Number
    7353688
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    zbMATH Keywords
    portfolio optimization
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    transaction costs
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    risk measures
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    statistical learning theory
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    \(\ell_2\)-regularized portfolios
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    support vector regression
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    robustness
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    OpenAlex ID
    W3046049079
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