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arXiv · 1706.10180

Regret-based Selection for Sparse Dynamic Portfolios

David Puelz·P. Richard Hahn·Carlos Carvalho
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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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David Puelz, P. Richard Hahn, Carlos Carvalho. 2017-07-23. Regret-based Selection for Sparse Dynamic Portfolios. https://arxiv.org/abs/1706.10180

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