A Globally Optimal Portfolio for m-Sparse Sharpe Ratio Maximization Yizun Lin 1
–Neural Information Processing Systems
The Sharpe ratio is an important and widely-used risk-adjusted return in financial engineering. In modern portfolio management, one may require an m-sparse (no more than m active assets) portfolio to save managerial and financial costs.
Neural Information Processing Systems
May-28-2025, 17:09:00 GMT
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- Experimental Study (0.46)
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- Research Report
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- Banking & Finance > Trading (0.46)
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