An application of sparse-group lasso regularization to equity portfolio optimization and sector selection
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DOI: 10.1007/s10479-019-03189-z
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Cited by:
- Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
- Jang Ho Kim & Woo Chang Kim & Frank J. Fabozzi, 2021. "Sparse factor model based on trend filtering," Annals of Operations Research, Springer, vol. 306(1), pages 321-342, November.
- Hafner, Christian & Wang, Linqi, 2020.
"Dynamic portfolio selection with sector-specific regularization,"
LIDAM Discussion Papers ISBA
2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Wang, Linqi, 2022. "Dynamic portfolio selection with sector-specific regularization," LIDAM Reprints ISBA 2022013, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Hafner, Christian M. & Wang, Linqi, 2022. "Dynamic portfolio selection with sector-specific regularization," LIDAM Reprints LFIN 2022007, Université catholique de Louvain, Louvain Finance (LFIN).
- Ni, Xuanming & Zheng, Tiantian & Zhao, Huimin & Zhu, Shushang, 2023. "High-dimensional portfolio optimization based on tree-structured factor model," Pacific-Basin Finance Journal, Elsevier, vol. 81(C).
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More about this item
Keywords
Portfolio optimization; Sector selection; $$ell _1$$ ℓ 1 regularization; Weighted $$ell _{2; 1}$$ ℓ 2 ; 1 regularization; Alternating direction method of multipliers;All these keywords.
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