Regret-based Selection for Sparse Dynamic Portfolios

Published 30 Jun 2017 in q-fin.PM and stat.AP | (1706.10180v3)

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.

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