Regularization methods for sparse ESG-valued multi-period portfolio optimization with return prediction using machine learning
Zhongming Wu, Yang Liu, Yue Fei, Xiulai Wang
Topics & Concepts
Efficient frontierPortfolio optimizationComputer sciencePortfolioMathematical optimizationRegularization (linguistics)Investment strategyLasso (programming language)Context (archaeology)Support vector machineEconometricsArtificial intelligenceMathematicsEconomicsFinanceWorld Wide WebPaleontologyMarket liquidityBiologyEnergy Load and Power ForecastingRisk and Portfolio OptimizationMarket Dynamics and Volatility