A linear programming model for selection of sparse high-dimensional multiperiod portfolios
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Publication:1622825
DOI10.1016/j.ejor.2018.08.025zbMath1403.90506OpenAlexW2888472564MaRDI QIDQ1622825
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
investment analysissparse portfolio\(ell_1\) minimizationdynamic mean-variance portfoliohigh-dimensional portfolio selection
Linear programming (90C05) Financial applications of other theories (91G80) Portfolio theory (91G10)
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