Construction, management, and performance of sparse Markowitz portfolios (Q905387)
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scientific article; zbMATH DE number 6532840
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Construction, management, and performance of sparse Markowitz portfolios |
scientific article; zbMATH DE number 6532840 |
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Construction, management, and performance of sparse Markowitz portfolios (English)
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19 January 2016
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Markowitz portfolios
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penalized regression
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portfolio selection
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portfolio management
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sparsity
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Sharpe ratio
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