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Turnover and transaction costs in portfolio selection
Good morning I am doing some performance analysis work between the markowitz model and a model with limited number of assets...
5 years 前 | 0 个回答 | 0
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mean variance model using l1 norm
I have to apply the l1 norm constraint to the classical mean variance model. I found a way to linearize this kind of problem, i...
5 years 前 | 0 个回答 | 0
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Mean Variance portfolio selection with l1-norm
I have to find several efficient borders, applying to the markovitz model an l1-norm, so that the sum of the weights within the ...
5 years 前 | 1 个回答 | 0
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Portfolio Optimization with LASSO
I thank you but it is not the result I expected; I try to rephrase the question. I found a way to linearize the constraint on th...
Portfolio Optimization with LASSO
I thank you but it is not the result I expected; I try to rephrase the question. I found a way to linearize the constraint on th...
5 years 前 | 0
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Portfolio Optimization with LASSO
I have to find the optimal portfolio adding the "l-1 norm" constraint to the classical mean-variance model. How can i write t...
5 years 前 | 2 个回答 | 0
