<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...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2022-02-01
|
| Series: | Mathematics |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2227-7390/10/4/540 |