LocalitàRoom BZ D0.02, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano
Dipartimenti Press and Events
Contatto Sabine Zanin
Sabine.Zanin@gmail.com
19 set 2019 13:30-14:30
Sorting out your Investments:Sparse Portfolio Construction via the sorted l1-norm
Sandra Paterlini, University of Trento
LocalitàRoom BZ D0.02, Universitätsplatz 1 - Piazza Università, 1, 39100 Bozen-Bolzano
Dipartimenti Press and Events
Contatto Sabine Zanin
Sabine.Zanin@gmail.com
Abstract:
We introduce a financial portfolio optimization framework that allows to automatically select the relevant assets and estimate their weights by relying on a sorted l-Norm penalization (SLOPE). Bothmean-variance and index tracking problems are discussed.