2 papers
math.OC2018
L1-regularization for multi-period portfolio selection
Stefania Corsaro, Valentina De Simone, Zelda Marino +1
In this work we present a model for the solution of the multi-period portfolio selection problem. The model is based on a time consistent dynamic risk measure. We apply l1-regulari…
q-fin.PM2018
Adaptive l1-regularization for short-selling control in portfolio selection
Stefania Corsaro, Valentina De Simone
We consider the l1-regularized Markowitz model, where a l1-penalty term is added to the objective function of the classical mean-variance one to stabilize the solution process, pro…