Portfolio Selection with Regularization

DOI10.1142/S0217595921500160zbMath1492.91342OpenAlexW3150616731MaRDI QIDQ5865917

Gengling Dai, Ning Zhang, Jingnan Chen

Publication date: 10 June 2022

Published in: Asia-Pacific Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0217595921500160

zbMATH Keywords

transaction costSharpe ratiogroup selectionportfolio leverageregularized portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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