Pages that link to "Item:Q3069222"
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The following pages link to Sparse and stable Markowitz portfolios (Q3069222):
Displayed 50 items.
- Robust scenario-based value-at-risk optimization (Q286009) (← links)
- Fast projection onto the simplex and the \(l_1\) ball (Q304269) (← links)
- Sparse solutions of linear complementarity problems (Q312696) (← links)
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341) (← links)
- Wavelet transform with special boundary treatment for 1D data (Q382442) (← links)
- Minimizing loss probability bounds for portfolio selection (Q439383) (← links)
- Risks of large portfolios (Q494174) (← links)
- Penalized least squares estimation with weakly dependent data (Q525888) (← links)
- Sparse recovery under matrix uncertainty (Q605921) (← links)
- On the role of norm constraints in portfolio selection (Q645500) (← links)
- L1Packv2: A Mathematica package for minimizing an \(\ell _{1}\)-penalized functional (Q711066) (← links)
- Regularized optimization with spatial coupling for robust decision making (Q723991) (← links)
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224) (← links)
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
- A sparse chance constrained portfolio selection model with multiple constraints (Q785634) (← links)
- \(l_1\)-regularization for multi-period portfolio selection (Q827241) (← links)
- The effect of regularization in portfolio selection problems (Q828760) (← links)
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084) (← links)
- Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
- Risk minimization in multi-factor portfolios: what is the best strategy? (Q1621911) (← links)
- Tracking hedge funds returns using sparse clones (Q1621921) (← links)
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage (Q1639677) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Sparse tangent portfolio selection via semi-definite relaxation (Q1694793) (← links)
- A new conceptual framework for the therapy by optimized multidimensional pulses of therapeutic activity. The case of multiple myeloma model (Q1714202) (← links)
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (Q1716964) (← links)
- DC formulations and algorithms for sparse optimization problems (Q1749449) (← links)
- Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance (Q1757253) (← links)
- Bayesian emulation for multi-step optimization in decision problems (Q1757667) (← links)
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions (Q1792481) (← links)
- An iterative algorithm for sparse and constrained recovery with applications to divergence-free current reconstructions in magneto-encephalography (Q1946625) (← links)
- Kurdyka-Łojasiewicz property of zero-norm composite functions (Q2026719) (← links)
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors (Q2029065) (← links)
- Parameter-free robust optimization for the maximum-Sharpe portfolio problem (Q2030537) (← links)
- Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) (← links)
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226) (← links)
- Dynamic variable selection with spike-and-slab process priors (Q2057381) (← links)
- On the long-only minimum variance portfolio under single factor model (Q2060386) (← links)
- Sparse factor model based on trend filtering (Q2070700) (← links)
- Regularized factor portfolio for cross-sectional multifactor models (Q2082324) (← links)
- Convex optimization under combinatorial sparsity constraints (Q2102824) (← links)
- On the mean and variance of the estimated tangency portfolio weights for small samples (Q2103309) (← links)
- Asset selection based on high frequency Sharpe ratio (Q2116331) (← links)
- Sparse and robust mean-variance portfolio optimization problems (Q2158966) (← links)
- Sparse minimax portfolio and Sharpe ratio models (Q2165774) (← links)
- Primal path algorithm for compositional data analysis (Q2189589) (← links)