"Sparse portfolio optimization via ℓ1 over ℓ2 regularization."

Zhongming Wu et al. (2024)

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DOI: 10.1016/J.EJOR.2024.07.017

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type: Journal Article

metadata version: 2025-03-17

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Zhongming Wu, Kexin Sun, Zhili Ge, Zhihua Allen-Zhao, Tieyong Zeng:
Sparse portfolio optimization via ℓ1 over ℓ2 regularization. Eur. J. Oper. Res. 319(3): 820-833 (2024)

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