Regret-based Selection for Sparse Dynamic Portfolios

David Puelz, P. Richard Hahn and Carlos Carvalho

Papers from arXiv.org

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.

Date: 2017-06, Revised 2017-07
New Economics Papers: this item is included in nep-mic, nep-rmg and nep-upt
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1706.10180

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