Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
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Publication:2057226
DOI10.1007/s10589-021-00312-4zbMath1482.90136OpenAlexW3201592758MaRDI QIDQ2057226
Lingchen Kong, Hongxin Zhao, Hou-Duo Qi
Publication date: 8 December 2021
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10589-021-00312-4
portfolio optimizationminimum variance portfolioout-of-sample performance\(\ell_{1, 2}\)-norm regularizationproximal augmented Lagrange method
Convex programming (90C25) Applications of mathematical programming (90C90) Quadratic programming (90C20)
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