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    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)

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    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)