A sparse learning approach to relative-volatility-managed portfolio selection

• Main Author: Pun, Chi Seng
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2022
• Subjects: Science::Mathematics; Direct Estimation; Iterative Algorithm
• Online Access: https://hdl.handle.net/10356/155740
• Institution: Nanyang Technological University

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...