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In this paper, we propose a sparse equity portfolio optimization (SEPO) based on the mean-variance portfolio selection model. Aimed at minimizing transaction cost by avoiding small investments, this new model includes $\ell_0$-norm regularization of
Externí odkaz:
http://arxiv.org/abs/2109.05732
Autor:
Sim, Hong Seng1 (AUTHOR), Ling, Wendy Shin Yie2 (AUTHOR), Leong, Wah June2 (AUTHOR), Chen, Chuei Yee2 (AUTHOR) cychen@upm.edu.my
Publikováno v:
Journal of Inequalities & Applications. 11/21/2023, Vol. 2023 Issue 1, p1-16. 16p.