Implementation of machine learning in 𝓁∞‑based sparse Sharpe ratio portfolio optimization : a case study on Indian stock market
Jyotirmayee Behera, Pankaj Kumar
| Year of publication: |
2024
|
|---|---|
| Authors: | Behera, Jyotirmayee ; Kumar, Pankaj |
| Subject: | Clustering | Minimax risk measure | Portfolio optimization | Sharpe ratio | Sparse portfolio | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Indien | India | Risiko | Risk | Mathematische Optimierung | Mathematical programming | Kapitaleinkommen | Capital income | Künstliche Intelligenz | Artificial intelligence |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s12351-024-00867-0 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015135777