High-Dimensional Sparse Portfolio Optimization Based on Factor Characteristics

NI Xuanming, QIU Yuning, ZHAO Huimin

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (10) : 2716-2729.

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中国科学院数学与系统科学研究院期刊网
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Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (10) : 2716-2729. DOI: 10.12341/jssms21235

High-Dimensional Sparse Portfolio Optimization Based on Factor Characteristics

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(10): 2716-2729 https://doi.org/10.12341/jssms21235

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