Sparse portfolio selection via the sorted l1-Norm
Year of publication: |
2020
|
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Authors: | Kremer, Philipp J. ; Lee, Sangkyun ; Bogdan, Małgorzata ; Paterlini, Sandra |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 110.2020, p. 1-15
|
Subject: | Alternating direction method of multipliers | Markowitz model | Portfolio management | Sorted ℓ-Norm regularization | Portfolio-Management | Portfolio selection | Theorie | Theory |
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