Constructing optimal sparse portfolios using regularization methods
B. Fastrich; S. Paterlini; P. Winkler
| Year of publication: |
2015
|
|---|---|
| Authors: | Fastrich, Björn ; Paterlini, Sandra ; Winker, Peter |
| Published in: |
Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 12.2015, 3, p. 417-434
|
| Subject: | Minimum variance portfolio | Statistical regularization | Lasso | Non-convex penalties | Portfolio-Management | Portfolio selection | Varianzanalyse | Analysis of variance | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011285983