Sangkyun Lee

Hanyang University ERICA

Seoul

Korea, Republic of (South Korea)

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Sparse Portfolio Selection via the Sorted L1 - Norm

Number of pages: 61 Posted: 09 Oct 2017 Last Revised: 02 Jan 2018
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management
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Abstract:

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Portfolio Management, Markowitz Model, Sorted L1-Norm Regularization; Alternating Direction Method of Multipliers