Malgorzata Bogdan

University of Wroclaw

50-384 Wroclaw

Grunwaldzki 2/4, Lower Silesia Province 50-137

Poland

SCHOLARLY PAPERS

2

DOWNLOADS

74

CITATIONS

2

Scholarly Papers (2)

1.

Sparse Portfolio Selection via the Sorted L1 - Norm

Number of pages: 61 Posted: 09 Oct 2017 Last Revised: 02 Jan 2018
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
Downloads 60 (354,633)
Citation 2

Abstract:

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

2.

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 14 (554,193)

Abstract:

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Index Tracking, Hedge Fund Clones, Regularization, SLOPE