A sparse learning approach to relative-volatility-managed portfolio selection
This paper proposes a self-calibrated sparse learning approach for estimating a sparse target vector, which is a product of a precision matrix and a vector, and investigates its application to finance to provide an innovative construction of a relative-volatility-managed portfolio. The proposed iter...
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| Format: | Article |
| Language: | English |
| Published: |
2022
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10356/155740 |
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| Institution: | Nanyang Technological University |
| Language: | English |