A Modified Adaptive Sparse-Group LASSO Regularization for Optimal Portfolio Selection.
Somaya SadikMohamed Et-tolbaBenayad NsiriPublished in: IEEE Access (2024)
Keyphrases
- group lasso
- portfolio selection
- variable selection
- structured sparsity
- regression model
- mixed norm
- optimal portfolio
- efficient optimization
- regularization term
- multiple kernel learning
- low rank
- multi task
- multi task learning
- multi label learning
- contingency tables
- convex optimization
- financial markets
- high dimensional
- robust optimization
- model selection
- optimal solution
- multiple objectives
- linear combination