The effect of regularization in portfolio selection problems

DOI10.1007/s11750-020-00578-7zbMath1467.90026OpenAlexW3043838139MaRDI QIDQ828760

Bernardo K. Pagnoncelli, Felipe del Canto, Arturo O. Cifuentes

Publication date: 5 May 2021

Published in: Top (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11750-020-00578-7

zbMATH Keywords

regularizationcross-validationportfolio optimizationrisk measuressample average approximationMarkowitz

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10) Portfolio theory (91G10)

Uses Software

• SUTIL
• PRMLT

Cites Work

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