Regret-based Selection for Sparse Dynamic Portfolios
Portfolio Management
2017-07-25 v3 Applications
Abstract
This paper considers portfolio construction in a dynamic setting. We specify a loss function comprised of utility and complexity components with an unknown tradeoff parameter. We develop a novel regret-based criterion for selecting the tradeoff parameter to construct optimal sparse portfolios over time.
Keywords
Cite
@article{arxiv.1706.10180,
title = {Regret-based Selection for Sparse Dynamic Portfolios},
author = {David Puelz and P. Richard Hahn and Carlos Carvalho},
journal= {arXiv preprint arXiv:1706.10180},
year = {2017}
}