A linear programming model for selection of sparse high-dimensional multiperiod portfolios
type: Item
instance of: scholarly article
title: A linear programming model for selection of sparse high-dimensional multiperiod portfolios
zbMATH Open document ID: 1403.90506
author: Chi Seng Pun
author: Hoi Ying Wong
published in: European Journal of Operational Research
publication date: 2018-11-19T00:00:00Z
full work available at URL: http://hdl.handle.net/10220/46617
Mathematics Subject Classification ID: 90C05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6981610
zbMATH Keywords: investment analysis
zbMATH Keywords: high-dimensional portfolio selection
zbMATH Keywords: dynamic mean-variance portfolio
zbMATH Keywords: \(ell_1\) minimization
zbMATH Keywords: sparse portfolio
describes a project that uses: glasso
MaRDI profile type: Publication
OpenAlex ID: W2888472564
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Wikidata QID: Q129344655
DOI: 10.1016/J.EJOR.2018.08.025
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description: scientific article; zbMATH DE number 6981610