Corsaro, Stefania; De Simone, Valentina; Marino, Zelda Fused Lasso approach in portfolio selection. (English) Zbl 1476.91145 Ann. Oper. Res. 299, No. 1-2, 47-59 (2021). MSC: 91G10 62P05 62J07 × Cite Format Result Cite Review PDF Full Text: DOI
Corsaro, Stefania; De Simone, Valentina; Marino, Zelda; Perla, Francesca \(l_1\)-regularization for multi-period portfolio selection. (English) Zbl 1455.91234 Ann. Oper. Res. 294, No. 1-2, 75-86 (2020). Reviewer: George Stoica (Saint John) MSC: 91G10 90C25 91G60 65K05 × Cite Format Result Cite Review PDF Full Text: DOI arXiv
Corsaro, Stefania; De Simone, Valentina Adaptive \(l_1\)-regularization for short-selling control in portfolio selection. (English) Zbl 1422.91646 Comput. Optim. Appl. 72, No. 2, 457-478 (2019). MSC: 91G10 49J52 91G60 × Cite Format Result Cite Review PDF Full Text: DOI arXiv