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A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection.
Chi Seng Pun
Published in:
SIAM J. Financial Math. (2021)
Keyphrases
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portfolio selection
sparse learning
financial markets
multi task
elastic net
stock market
stock price
sparse representation
robust optimization
exchange rate
multiple objectives
bayesian networks
risk management
genetic algorithm
sparse coding
information extraction
relevance vector machine