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Libera Università di Bolzano

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.
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