Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328): Difference between revisions

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Language	Label	Description	Also known as
English	Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach	scientific article

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instance of

scholarly article

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title

Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (English)

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Optimization and Engineering

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publication date

5 October 2018

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zbMATH Keywords

mean-variance customer portfolio

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sparse

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penalty function

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Tikhonov's regularization

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Markov decision processes

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1007/s11081-018-9374-9

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cites work

Morozov's discrepancy principle for Tikhonov-type functionals with nonlinear operators

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The regularization of the ill-posed notion ``fuzzy probability''

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Sparse and stable Markowitz portfolios

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A Tikhonov regularized penalty function approach for solving polylinear programming problems

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Dynamic portfolio choice: a simulation-and-regression approach

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Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization

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An application of hidden Markov models to asset allocation problems

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Vast Portfolio Selection With Gross-Exposure Constraints

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Cardinality versus<i>q</i>-norm constraints for index tracking

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Constructing optimal sparse portfolios using regularization methods

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Q3657778

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Taylor series approximations to expected utility and optimal portfolio choice

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A well-conditioned estimator for large-dimensional covariance matrices

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Adjusted robust mean-value-at-risk model: less conservative robust portfolios

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Generalization performance of magnitude-preserving semi-supervised ranking with graph-based regularization

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Q4485809

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Residual periodograms for choosing regularization parameters for ill-posed problems

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EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

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Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

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A coupled Markov chain approach to credit risk modeling

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Nonnegative elastic net and application in index tracking

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Nonnegative-Lasso and application in index tracking

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Sparse Weighted-Norm Minimum Variance Portfolios

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Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

0 references

Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits

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Q5591247

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Identifiers

zbMATH Open document ID

1397.91549

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DOI

10.1007/s11081-018-9374-9

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1787328

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+Normal rank
@@ Property / cites work @@
+Morozov's discrepancy principle for Tikhonov-type functionals with nonlinear operators
+Normal rank
@@ Property / cites work @@
+The regularization of the ill-posed notion ``fuzzy probability''
+Normal rank
@@ Property / cites work @@
+Sparse and stable Markowitz portfolios
@@ Property / cites work: Sparse and stable Markowitz portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+A Tikhonov regularized penalty function approach for solving polylinear programming problems
+Normal rank
@@ Property / cites work @@
+A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
+Normal rank
@@ Property / cites work @@
+Dynamic portfolio choice: a simulation-and-regression approach
+Normal rank
@@ Property / cites work @@
+Predictive control of systems with Markovian jumps under constraints and its application to the investment portfolio optimization
+Normal rank
@@ Property / cites work @@
+An application of hidden Markov models to asset allocation problems
+Normal rank
@@ Property / cites work @@
+Vast Portfolio Selection With Gross-Exposure Constraints
+Normal rank
@@ Property / cites work @@
+Cardinality versus<i>q</i>-norm constraints for index tracking
+Normal rank
@@ Property / cites work @@
+Constructing optimal sparse portfolios using regularization methods
+Normal rank
@@ Property / cites work @@
+Q3657778
@@ Property / cites work: Q3657778 / rank @@
+Normal rank
@@ Property / cites work @@
+Taylor series approximations to expected utility and optimal portfolio choice
+Normal rank
@@ Property / cites work @@
+A well-conditioned estimator for large-dimensional covariance matrices
+Normal rank
@@ Property / cites work @@
+Adjusted robust mean-value-at-risk model: less conservative robust portfolios
+Normal rank
@@ Property / cites work @@
+Generalization performance of magnitude-preserving semi-supervised ranking with graph-based regularization
+Normal rank
@@ Property / cites work @@
+Q4485809
@@ Property / cites work: Q4485809 / rank @@
+Normal rank
@@ Property / cites work @@
+Residual periodograms for choosing regularization parameters for ill-posed problems
+Normal rank
@@ Property / cites work @@
+EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
+Normal rank
@@ Property / cites work @@
+Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
+Normal rank
@@ Property / cites work @@
+A coupled Markov chain approach to credit risk modeling
+Normal rank
@@ Property / cites work @@
+Nonnegative elastic net and application in index tracking
+Normal rank
@@ Property / cites work @@
+Nonnegative-Lasso and application in index tracking
+Normal rank
@@ Property / cites work @@
+Sparse Weighted-Norm Minimum Variance Portfolios
@@ Property / cites work: Sparse Weighted-Norm Minimum Variance Portfolios / rank @@
+Normal rank
@@ Property / cites work @@
+Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+Q5591247
@@ Property / cites work: Q5591247 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1787328