Fused Lasso approach in portfolio selection.
Stefania CorsaroValentina De SimoneZelda MarinoPublished in: Ann. Oper. Res. (2021)
Keyphrases
- portfolio selection
- multistage stochastic
- portfolio optimization
- feature selection
- financial markets
- variable selection
- portfolio management
- cross validation
- least squares
- robust optimization
- optimal portfolio
- model selection
- multiple objectives
- transaction costs
- multistage
- theoretical framework
- data warehouse
- genetic algorithm