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

From MaRDI portal
RedirectionBot (talk | contribs)
Changed an Item
ReferenceBot (talk | contribs)
Changed an Item
 
(4 intermediate revisions by 3 users not shown)
Property / describes a project that uses
 
Property / describes a project that uses: PRMLT / rank
 
Normal rank
Property / describes a project that uses
 
Property / describes a project that uses: SUTIL / rank
 
Normal rank
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s11750-020-00578-7 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3043838139 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Least squares after model selection in high-dimensional sparse models / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Price of Robustness / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5483032 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computing efficient frontiers using estimated parameters / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparse and stable Markowitz portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: The Dantzig selector: statistical estimation when \(p\) is much larger than \(n\). (With discussions and rejoinder). / rank
 
Normal rank
Property / cites work
 
Property / cites work: Adaptive \(l_1\)-regularization for short-selling control in portfolio selection / rank
 
Normal rank
Property / cites work
 
Property / cites work: Computational study of decomposition algorithms for mean-risk stochastic linear programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Selection with Robust Estimation / rank
 
Normal rank
Property / cites work
 
Property / cites work: On the time-consistent stochastic dominance risk averse measure for tactical supply chain planning under uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constructing optimal sparse portfolios using regularization methods / rank
 
Normal rank
Property / cites work
 
Property / cites work: An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust Portfolio Selection Problems / rank
 
Normal rank
Property / cites work
 
Property / cites work: Duality in stochastic linear and dynamic programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective / rank
 
Normal rank
Property / cites work
 
Property / cites work: A log-robust optimization approach to portfolio management / rank
 
Normal rank
Property / cites work
 
Property / cites work: 60 years of portfolio optimization: practical challenges and current trends / rank
 
Normal rank
Property / cites work
 
Property / cites work: Evaluating policies in risk-averse multi-stage stochastic programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Conditional value-at-risk in portfolio optimization: coherent but fragile / rank
 
Normal rank
Property / cites work
 
Property / cites work: The empirical behavior of sampling methods for stochastic programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Twenty years of linear programming based portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dual Stochastic Dominance and Quantile Risk Measures / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimization of Convex Risk Functions / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4830009 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Regularizing portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4864293 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q5515676 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Likelihood robust optimization for data-driven problems / rank
 
Normal rank

Latest revision as of 17:35, 25 July 2024

scientific article
Language Label Description Also known as
English
The effect of regularization in portfolio selection problems
scientific article

    Statements

    The effect of regularization in portfolio selection problems (English)
    0 references
    0 references
    0 references
    0 references
    5 May 2021
    0 references
    0 references
    0 references
    0 references
    0 references
    portfolio optimization
    0 references
    regularization
    0 references
    cross-validation
    0 references
    risk measures
    0 references
    sample average approximation
    0 references
    Markowitz
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references