来自LASSO求解器的有效前沿
The Efficient Frontier from a LASSO Solver
中文总结 AI 辅助
本文利用LASSO路径与Markowitz临界线算法的等价性，通过scikit-learn的lars_path求解器计算有效前沿，支持多空、固定杠杆及经典多头情形，并实现单次调用到达最小方差组合。
中文摘要 AI 辅助
在最近的一篇论文中，Schmelzer和Hastie认为Markowitz的临界线算法与LASSO路径描绘的是同一条曲线。在此，我们利用这一等价性，通过scikit-learn中的股票LASSO求解器lars_path来计算有效前沿。该求解器能够处理在杠杆上限下的多空组合、固定杠杆下不同风险偏好的情况，以及经典的多头全投资有效前沿。若直接调用，最后一条路径会在最大夏普比率组合处停止。通过预先计算一个响应偏移量，单次调用即可达到最小方差组合。
英文摘要
In a recent paper, Schmelzer and Hastie argue that Markowitz's Critical Line Algorithm and the LASSO path trace the same curve. Here we use that identity to compute efficient frontiers with a stock LASSO solver, \texttt{lars\_path} from \texttt{scikit-learn}. It handles long--short portfolios under a leverage cap, fixed leverage with varying risk appetite, and the classical long-only, fully invested frontier. Called naively, the last path stops at the maximum-Sharpe portfolio. One shift of the response, by an amount computed in advance, lets a single call reach the minimum-variance portfolio.
