The effect of regularization in portfolio selection problems
Bernardo K. Pagnoncelli, Felipe del Canto, Arturo Cifuentes
| Year of publication: |
2021
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|---|---|
| Authors: | Pagnoncelli, Bernardo K. ; Canto, Felipe del ; Cifuentes, Arturo |
| Subject: | Portfolio optimization | Regularization | Cross-validation | Risk measures | Sample average approximation | Markowitz | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Mathematische Optimierung | Mathematical programming | Schätztheorie | Estimation theory | Stichprobenerhebung | Sampling |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s11750-020-00578-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012498983