Proximal linearized method for sparse equity portfolio optimization with minimum transaction cost
In this paper, we propose a sparse equity portfolio optimization model that aims at minimizing transaction cost by avoiding small investments while promoting diversification to help mitigate the volatility in the portfolio. The former is achieved by including the £₀ -norm regularization of the asset...
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| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2023
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| Online Access: | http://psasir.upm.edu.my/id/eprint/108776/1/Proximal%20linearized%20method%20for%20sparse%20equity.pdf http://psasir.upm.edu.my/id/eprint/108776/ https://journalofinequalitiesandapplications.springeropen.com/articles/10.1186/s13660-023-03055-4 |
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