Malgorzata Bogdan

University of Wroclaw

50-384 Wroclaw

Grunwaldzki 2/4, Lower Silesia Province 50-137

Poland

SCHOLARLY PAPERS

2

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28

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (2)

1.

Sparse Index Clones via the Sorted L1-Norm

Number of pages: 30 Posted: 02 Jul 2019
EBS Universität für Wirtschaft und Recht, Wroclaw University of Technology, University of Wroclaw and University of Trento - Department of Economics and Management
Downloads 28 (492,130)

Abstract:

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE

2.

Sparse Portfolio Selection via the Sorted L1 - Norm

Posted: 09 Oct 2017 Last Revised: 05 Nov 2019
Philipp Kremer, Sangkyun Lee, Malgorzata Bogdan and Sandra Paterlini
EBS Universität für Wirtschaft und Recht, Hanyang University ERICA, University of Wroclaw and University of Trento - Department of Economics and Management

Abstract:

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