Skip to content

jaydu1/SparsePortfolio

Folders and files

NameName
Last commit message
Last commit date

Latest commit

 

History

5 Commits
 
 
 
 
 
 
 
 

Repository files navigation

High-Dimensional Portfolio Selecton with Cardinality Constraints

This repo contains code for perform proximal gradient descent to solve sample average approximation of expected utility maximization problems with cardinality constraints. We show that, under mild conditions, the $l_1$-regularized problem is equivalent to the $l_0$-constrained problem.

Requirements

We use Python 3 for our code. Please refer to requirements.txt, and use pip or conda to create a virtual environment with required packages installed.

Releases

No releases published

Packages

No packages published

Languages