A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
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Publication:4988547
DOI10.1137/19M1291674zbMath1465.91101MaRDI QIDQ4988547
Publication date: 17 May 2021
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
iterative algorithmoracle inequalityself-calibrated regularizationdirect estimationmarket-sensitive asset selectionrelative-volatility timing
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