Lasso-based simulation for high-dimensional multi-period portfolio optimization
Zhongyu Li, Ka Ho Tsang and Hoi Ying Wong
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Zhongyu ; Tsang, Ka Ho ; Wong, Hoi Ying |
| Published in: |
IMA journal of management mathematics. - Oxford : Univ. Press, ISSN 1471-6798, ZDB-ID 2045093-X. - Vol. 31.2020, 3, p. 257-280
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| Subject: | asso | high-dimensional regression | portfolio optimization | mean-variance | Monte Carlo | simulation | Portfolio-Management | Portfolio selection | Simulation | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Regressionsanalyse | Regression analysis |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpz013 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012258670