Lasso-based simulation for high-dimensional multi-period portfolio optimization

DOI10.1093/IMAMAN/DPZ013OpenAlexW2980066763WikidataQ127457813 ScholiaQ127457813MaRDI QIDQ5125040

Ka Ho Tsang, Zhongyu Li, Hoi Ying Wong

Publication date: 30 September 2020

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz013

zbMATH Keywords

Monte Carlo simulationportfolio optimizationhigh-dimensional regressionLassomean-variance

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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