Sparse Portfolio Optimization via a Novel Fractional Regularization
The paper introduces a new L1L2 regularized sparse portfolio optimization model using the ADMM method, and discusses an extension of the model to include a more general L1Lq regularization.
Featured in No. 30 on 20 Dec 2023 · 3 days after release · 2 citations today
- Released
- 17 Dec 2023
- First featured
- No. 30 · 20 Dec 2023
- Citations (Semantic Scholar)
- 2
- Influential citations
- 1
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 3
- Identifier
- SSRN 4666990
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).