<em>l</em><sub>1</sub>-Regularization in Portfolio Selection with Machine Learning

<em>l</em><sub>1</sub>-Regularization in Portfolio Selection with Machine Learning

In this work, we investigate the application of Deep Learning in Portfolio selection in a Markowitz mean-variance framework. We refer to a <inline-formula><math display="inline"><semantics><msub><mi>l</mi><mn>1</mn></msub></semantics...

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Bibliographic Details
Main Authors: Stefania Corsaro, Valentina De Simone, Zelda Marino, Salvatore Scognamiglio
Format: Article
Language:English
Published: MDPI AG 2022-02-01
Series:Mathematics
Subjects:
deep learning
multi-period portfolio optimization
<i>l</i><sub>1</sub>-norm
split Bregman
Online Access:https://www.mdpi.com/2227-7390/10/4/540

Internet

https://www.mdpi.com/2227-7390/10/4/540

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