A Modified Adaptive Sparse-Group LASSO Regularization for Optimal Portfolio Selection-Reference-Cited by-同舟云学术

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A Modified Adaptive Sparse-Group LASSO Regularization for Optimal Portfolio Selection

Published:2024 Issue: Volume:12 Page:107337-107352
ISSN:2169-3536
Container-title:IEEE Access
language:
Short-container-title:IEEE Access

Author:

Sadik Somaya¹^ORCID,Et-Tolba Mohamed²,Nsiri Benayad³^ORCID

Affiliation:

1. National Higher School of Arts and Crafts of Rabat (ENSAM), Mohammed V University, Rabat, Morocco

2. National Institute of Posts and Telecommunications, Rabat, Morocco

3. Engineering Department of Health Technologies, National Higher School of Arts and Crafts of Rabat (ENSAM), Mohammed V University, Rabat, Morocco

Publisher

Institute of Electrical and Electronics Engineers (IEEE)

Link

http://xplorestaging.ieee.org/ielx8/6287639/10380310/10623175.pdf?arnumber=10623175

Reference29 articles.

1. Twenty years of linear programming based portfolio optimization

2. The effect of regularization in portfolio selection problems

3. Sparse and stable Markowitz portfolios

4. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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