A Lasso-based screening step followed by low-dimensional mean-variance optimization on the selected assets improves high-dimensional portfolio construction, with a defactoring extension for strong factors.
arXiv preprint arXiv:1804.03274 , year=
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Post-Screening Portfolio Selection
A Lasso-based screening step followed by low-dimensional mean-variance optimization on the selected assets improves high-dimensional portfolio construction, with a defactoring extension for strong factors.