A linear programming model for selection of sparse high-dimensional multiperiod portfolios

DOI10.1016/j.ejor.2018.08.025zbMath1403.90506OpenAlexW2888472564MaRDI QIDQ1622825

Hoi Ying Wong, Chi Seng Pun

Publication date: 19 November 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10220/46617

zbMATH Keywords

investment analysissparse portfolio\(ell_1\) minimizationdynamic mean-variance portfoliohigh-dimensional portfolio selection

Mathematics Subject Classification ID

Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)

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Uses Software

• glasso

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