The effect of regularization in portfolio selection problems (Q828760): Difference between revisions

@@ Property / author @@
-Arturo O. Cifuentes
@@ Property / author: Arturo O. Cifuentes / rank @@
-Normal rank
@@ Property / author @@
+Arturo O. Cifuentes
@@ Property / author: Arturo O. Cifuentes / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+PRMLT
@@ Property / describes a project that uses: PRMLT / rank @@
+Normal rank
@@ Property / describes a project that uses @@
+SUTIL
@@ Property / describes a project that uses: SUTIL / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11750-020-00578-7
+Normal rank
@@ Property / OpenAlex ID @@
+W3043838139
@@ Property / OpenAlex ID: W3043838139 / rank @@
+Normal rank
@@ Property / cites work @@
+Least squares after model selection in high-dimensional sparse models
+Normal rank
@@ Property / cites work @@
+The Price of Robustness
@@ Property / cites work: The Price of Robustness / rank @@
+Normal rank
@@ Property / cites work @@
+Q5483032
@@ Property / cites work: Q5483032 / rank @@
+Normal rank
@@ Property / cites work @@
+Computing efficient frontiers using estimated parameters
+Normal rank
@@ Property / cites work @@
+Sparse and stable Markowitz portfolios
@@ Property / cites work: Sparse and stable Markowitz portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder).
+Normal rank
@@ Property / cites work @@
+Adaptive \(l_1\)-regularization for short-selling control in portfolio selection
+Normal rank
@@ Property / cites work @@
+Computational study of decomposition algorithms for mean-risk stochastic linear programs
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Robust Estimation
@@ Property / cites work: Portfolio Selection with Robust Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty
+Normal rank
@@ Property / cites work @@
+Constructing optimal sparse portfolios using regularization methods
+Normal rank
@@ Property / cites work @@
+An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+Duality in stochastic linear and dynamic programming
+Normal rank
@@ Property / cites work @@
+Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective
+Normal rank
@@ Property / cites work @@
+A log-robust optimization approach to portfolio management
+Normal rank
@@ Property / cites work @@
+years of portfolio optimization: practical challenges and current trends
+Normal rank
@@ Property / cites work @@
+Evaluating policies in risk-averse multi-stage stochastic programming
+Normal rank
@@ Property / cites work @@
+Conditional value-at-risk in portfolio optimization: coherent but fragile
+Normal rank
@@ Property / cites work @@
+The empirical behavior of sampling methods for stochastic programming
+Normal rank
@@ Property / cites work @@
+Twenty years of linear programming based portfolio optimization
+Normal rank
@@ Property / cites work @@
+Dual Stochastic Dominance and Quantile Risk Measures
+Normal rank
@@ Property / cites work @@
+Optimization of Convex Risk Functions
@@ Property / cites work: Optimization of Convex Risk Functions / rank @@
+Normal rank
@@ Property / cites work @@
+Q4830009
@@ Property / cites work: Q4830009 / rank @@
+Normal rank
@@ Property / cites work @@
+Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
+Normal rank
@@ Property / cites work @@
+Regularizing portfolio optimization
@@ Property / cites work: Regularizing portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Q4864293
@@ Property / cites work: Q4864293 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5515676
@@ Property / cites work: Q5515676 / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood robust optimization for data-driven problems
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:828760