Lasso-based simulation for high-dimensional multi-period portfolio optimization (Q5125040)
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scientific article; zbMATH DE number 7254131
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Lasso-based simulation for high-dimensional multi-period portfolio optimization |
scientific article; zbMATH DE number 7254131 |
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Lasso-based simulation for high-dimensional multi-period portfolio optimization (English)
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30 September 2020
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Lasso
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high-dimensional regression
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portfolio optimization
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mean-variance
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Monte Carlo simulation
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