High-dimensional sparse portfolio selection with nonnegative constraint
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DOI: 10.1016/j.amc.2022.127766
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- Dan Lou & Yuehan Yang, 2025. "Joint estimation of transfer learning on time series data," Statistical Papers, Springer, vol. 66(1), pages 1-19, January.
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Keywords
Portfolio selection; Regression; Nonconcave penalty; SCAD;All these keywords.
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