Autonomous Sparse Mean-CVaR Portfolio Optimization

By Yizun Lin, Yangyu Zhang, Zhao-Rong Lai, Cheng Li

Published 2024-05-13

Everscope rating

1666.6

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Autonomous Sparse Mean-CVaR (ASMCVaR). Problem types: Portfolio Optimization, Sparse Optimization.

arXiv:2405.08047 · Code · Paper rankings

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