Skip to main content

3 Result(s)

within Article Remove this filter Zelda Marino Remove this filter

and

  1. Article

    Open Access

    Learning fused lasso parameters in portfolio selection via neural networks

    In recent years, fused lasso models are becoming popular in several fields, such as computer vision, classification and finance. In portfolio selection, they can be used to penalize active positions and portfo...

    Stefania Corsaro, Valentina De Simone, Zelda Marino… in Quality & Quantity (2024)

    Download PDF (1397 KB) View Article

  2. No Access

    Article

    Fused Lasso approach in portfolio selection

    In this work we present a new model based on a fused Lasso approach for the multi-period portfolio selection problem in a Markowitz framework. In a multi-period setting, the investment period is partitioned in...

    Stefania Corsaro, Valentina De Simone, Zelda Marino in Annals of Operations Research (2021)

  3. No Access

    Article

    \(l_1\) -Regularization for multi-period portfolio selection

    In this work we present a model for the solution of the multi-period portfolio selection problem. The model is based on a time consistent dynamic risk measure. We apply

    Stefania Corsaro, Valentina De Simone, Zelda Marino… in Annals of Operations Research (2020)