Regret-based Selection for Sparse Dynamic Portfolios

Carlos Carvalho; David Puelz; P. Richard Hahn

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Regret-based Selection for Sparse Dynamic Portfolios

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arxiv 1706.10180 v3 pith:IKO5FXNM submitted 2017-06-30 q-fin.PM stat.AP

David Puelz , P. Richard Hahn , Carlos Carvalho This is my paper · ORCID

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keywords dynamicparameterportfoliosregret-basedsparsetradeoffcomplexitycomponents

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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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