An application of sparse-group lasso regularization to equity portfolio optimization and sector selection.
Jingnan ChenGengling DaiNing ZhangPublished in: Ann. Oper. Res. (2020)
Keyphrases
- group lasso
- portfolio optimization
- structured sparsity
- variable selection
- regression model
- mixed norm
- efficient optimization
- stock market
- regularization term
- multi task
- optimization methods
- multi label learning
- multiple kernel learning
- contingency tables
- low rank
- multi task learning
- portfolio selection
- convex optimization
- factor analysis
- robust optimization
- risk management
- cost function
- cross validation
- high dimensional
- simulated annealing
- model selection
- regularization parameter
- learning tasks
- objective function
- low dimensional
- matrix factorization