An application of sparse-group lasso regularization to equity portfolio optimization and sector selection
Jingnan Chen, Gengling Dai, Ning Zhang
| Year of publication: |
2020
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|---|---|
| Authors: | Chen, Jingnan ; Dai, Gengling ; Zhang, Ning |
| Published in: |
Annals of operations research ; volume 284, numbers 1 (January 2020). - New York, NY, USA : Springer. - 2020, p. 243-262
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| Subject: | Portfolio optimization | Sector selection | L1 regularization | Weighted L2,1 regularization | Alternating direction method of multipliers | Portfolio-Management | Portfolio selection | Theorie | Theory | Mathematische Optimierung | Mathematical programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz im Buch ; Book section |
| Language: | English |
| Other identifiers: | 10.1007/s10479-019-03189-z [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012165565