Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization
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DOI: 10.1007/s10589-021-00312-4
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Keywords
Portfolio optimization; Minimum variance portfolio; $$ell _{1; 2}$$ ℓ 1 ; 2 -norm regularization; Proximal augmented Lagrange method; Out-of-sample performance;All these keywords.
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