Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
نویسندگان
چکیده
منابع مشابه
Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
It is well known that the out-of-sample performance of Markowitz’s mean-variance portfolio criterion can be negatively affected by estimation errors in the mean and covariance. In this paper we address the problem by regularizing the mean-variance objective function with a weighted elastic net penalty. We show that the use of this penalty can be motivated by a robust reformulation of the mean-v...
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ژورنال
عنوان ژورنال: SIAM Journal on Financial Mathematics
سال: 2015
ISSN: 1945-497X
DOI: 10.1137/15m1007872