Sparse minimax portfolio and Sharpe ratio models (Q2165774): Difference between revisions

From MaRDI portal
Set OpenAlex properties.
ReferenceBot (talk | contribs)
Changed an Item
 
Property / cites work
 
Property / cites work: Q4395415 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Sparse and stable Markowitz portfolios / rank
 
Normal rank
Property / cites work
 
Property / cites work: Portfolio Optimization Under a Minimax Rule / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heuristics for cardinality constrained portfolio optimization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Atomic Decomposition by Basis Pursuit / rank
 
Normal rank
Property / cites work
 
Property / cites work: An iterative thresholding algorithm for linear inverse problems with a sparsity constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms / 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: Analytic efficient solution set for bi-criteria quadratic network programs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Generalized linear multiplicative and fractional programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Iterative reweighted minimization methods for \(l_p\) regularized unconstrained nonlinear programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Single-Period Mean–Variance Analysis in a Changing World / rank
 
Normal rank
Property / cites work
 
Property / cites work: Understanding and using linear programming / rank
 
Normal rank
Property / cites work
 
Property / cites work: Parametrically computing efficient frontiers and reanalyzing efficiency-diversification discrepancies and naive diversification / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4864293 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Heuristic algorithms for the cardinality constrained efficient frontier / rank
 
Normal rank
Property / cites work
 
Property / cites work: L 1/2 regularization / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Minimax Portfolio Selection Rule with Linear Programming Solution / rank
 
Normal rank

Latest revision as of 22:07, 29 July 2024

scientific article
Language Label Description Also known as
English
Sparse minimax portfolio and Sharpe ratio models
scientific article

    Statements

    Sparse minimax portfolio and Sharpe ratio models (English)
    0 references
    0 references
    0 references
    0 references
    23 August 2022
    0 references
    sparse minimax portfolio selection model
    0 references
    Sharpe ratio
    0 references
    short selling
    0 references
    sparse mean-variance model
    0 references
    \(l_p\) regularization
    0 references

    Identifiers