Large-scale minimum variance portfolio allocation using double regularization

DOI10.1016/j.jedc.2020.103939OpenAlexW3033487920MaRDI QIDQ2191518

Yanyan Li

Publication date: 25 June 2020

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2020.103939

zbMATH Keywords

curse of dimensionalitytemporal instabilityrolling windowdoubly regularizationlarge-scale portfolio

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Related Items (1)

A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION

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