On the role of norm constraints in portfolio selection

DOI10.1007/S10287-011-0130-2zbMath1225.91060OpenAlexW2066405619MaRDI QIDQ645500

Akiko Takeda, Jun-Ya Gotoh

Publication date: 15 November 2011

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-011-0130-2

zbMATH Keywords

portfolio optimizationrobust portfolioCVar (conditional value-at-risk)norm constrainttracking portfolio

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Applications of mathematical programming (90C90) Portfolio theory (91G10)

Related Items (19)

Solving norm constrained portfolio optimization via coordinate-wise descent algorithms ⋮ Robust scenario-based value-at-risk optimization ⋮ Norm constrained minimum variance portfolios with short selling ⋮ Cardinality-constrained distributionally robust portfolio optimization ⋮ Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach ⋮ Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio ⋮ Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization ⋮ Asset allocation strategies based on penalized quantile regression ⋮ An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection ⋮ Relative utility bounds for empirically optimal portfolios ⋮ Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios ⋮ A closer look at the minimum-variance portfolio optimization model ⋮ Improved estimation of optimal portfolio with an application to the US stock market ⋮ Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization ⋮ Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios ⋮ Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem ⋮ Portfolio Selection with Regularization ⋮ Diversified minimum-variance portfolios ⋮ Interaction between financial risk measures and machine learning methods

Uses Software

• ElemStatLearn

Cites Work

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