ℓ 2 -Relaxation: With Applications to Forecast Combination and Portfolio Analysis
ℓ2 松弛：预测组合与投资组合分析的应用
Abstract We propose ℓ2-relaxation, which is a novel convex optimization problem, to tackle a forecast combination with many forecasts or a minimum variance portfolio with many assets. ℓ2-relaxation minimizes the squared Euclidean norm of the weight vector subject to a set of relaxed linear inequalities to balance the bias and variance. It delivers optimality with approximately equal within-group weights when latent block equicorrelation patterns dominate the high-dimensional…