Sparse and stable Markowitz portfolios
From MaRDI portal
Publication:3069222
DOI10.1073/PNAS.0904287106zbMath1203.91271arXiv0708.0046OpenAlexW2105630053WikidataQ37282512 ScholiaQ37282512MaRDI QIDQ3069222
Domenico Giannone, Ingrid Daubechies, Ignace Loris, Christine De Mol, Joshua Brodie
Publication date: 24 January 2011
Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.0046
Related Items (only showing first 100 items - show all)
A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection ⋮ \(l_1\)-regularization for multi-period portfolio selection ⋮ Risk minimization in multi-factor portfolios: what is the best strategy? ⋮ Tracking hedge funds returns using sparse clones ⋮ The effect of regularization in portfolio selection problems ⋮ A linear programming model for selection of sparse high-dimensional multiperiod portfolios ⋮ Solving norm constrained portfolio optimization via coordinate-wise descent algorithms ⋮ Robust scenario-based value-at-risk optimization ⋮ Fast projection onto the simplex and the \(l_1\) ball ⋮ Sparse solutions of linear complementarity problems ⋮ Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage ⋮ Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach ⋮ Dynamic portfolio optimization across hidden market regimes ⋮ Portfolio optimization under Expected Shortfall: contour maps of estimation error ⋮ Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation ⋮ Optimal execution with non-linear transient market impact ⋮ Sparse index clones via the sorted ℓ1-Norm ⋮ Sparse and robust mean-variance portfolio optimization problems ⋮ Unnamed Item ⋮ Sparse minimax portfolio and Sharpe ratio models ⋮ Split Bregman iteration for multi-period mean variance portfolio optimization ⋮ Sparse recovery under matrix uncertainty ⋮ Closed-form solutions for short-term sparse portfolio optimization ⋮ Using principal component analysis to estimate a high dimensional factor model with high-frequency data ⋮ Wavelet transform with special boundary treatment for 1D data ⋮ Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity ⋮ Adaptive \(l_1\)-regularization for short-selling control in portfolio selection ⋮ Primal path algorithm for compositional data analysis ⋮ Resolution of Degeneracy in Merton's Portfolio Problem ⋮ Uniqueness of DRS as the 2 operator resolvent-splitting and impossibility of 3 operator resolvent-splitting ⋮ High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators ⋮ An Augmented Lagrangian Method for Non-Lipschitz Nonconvex Programming ⋮ Structural properties of affine sparsity constraints ⋮ A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems ⋮ Sparse tangent portfolio selection via semi-definite relaxation ⋮ Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach ⋮ Construction, management, and performance of sparse Markowitz portfolios ⋮ An iterative algorithm for sparse and constrained recovery with applications to divergence-free current reconstructions in magneto-encephalography ⋮ Minimizing loss probability bounds for portfolio selection ⋮ A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers ⋮ High-dimensional sparse portfolio selection with nonnegative constraint ⋮ On the role of norm constraints in portfolio selection ⋮ A new conceptual framework for the therapy by optimized multidimensional pulses of therapeutic activity. The case of multiple myeloma model ⋮ Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio ⋮ Sparse Markowitz portfolio selection by using stochastic linear complementarity approach ⋮ Mathematical programs with complementarity constraints and a non-Lipschitz objective: optimality and approximation ⋮ An adaptive primal-dual framework for nonsmooth convex minimization ⋮ Asset allocation under predictability and parameter uncertainty using Lasso ⋮ Replica approach to mean-variance portfolio optimization ⋮ Analytic solution to variance optimization with no short positions ⋮ Risks of large portfolios ⋮ Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices ⋮ Fused Lasso approach in portfolio selection ⋮ DC formulations and algorithms for sparse optimization problems ⋮ The Trimmed Lasso: Sparse Recovery Guarantees and Practical Optimization by the Generalized Soft-Min Penalty ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Nonasymptotic convergence of stochastic proximal point algorithms for constrained convex optimization ⋮ Penalized least squares estimation with weakly dependent data ⋮ Vast Portfolio Selection With Gross-Exposure Constraints ⋮ Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance ⋮ Bayesian emulation for multi-step optimization in decision problems ⋮ L1Packv2: A Mathematica package for minimizing an \(\ell _{1}\)-penalized functional ⋮ Dynamic portfolio optimization across hidden market regimes ⋮ Kurdyka-Łojasiewicz property of zero-norm composite functions ⋮ The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors ⋮ Regularized optimization with spatial coupling for robust decision making ⋮ Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach ⋮ Parameter-free robust optimization for the maximum-Sharpe portfolio problem ⋮ Asset allocation strategies based on penalized quantile regression ⋮ Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions ⋮ Multi-period portfolio selection with drawdown control ⋮ An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection ⋮ Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios ⋮ A closer look at the minimum-variance portfolio optimization model ⋮ Quantile-based portfolios: post-model-selection estimation with alternative specifications ⋮ An efficient optimization approach for a cardinality-constrained index tracking problem ⋮ Sparse partial least squares regression for on‐line variable selection with multivariate data streams ⋮ LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization ⋮ Dynamic variable selection with spike-and-slab process priors ⋮ On the long-only minimum variance portfolio under single factor model ⋮ Tikhonov regularization with \({\ell^{0}}\)-term complementing a convex penalty: \({\ell^{1}}\)-convergence under sparsity constraints ⋮ Sparse factor model based on trend filtering ⋮ A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection ⋮ Sparse precision matrices for minimum variance portfolios ⋮ Un-diversifying during crises: is it a good idea? ⋮ A cost-effective approach to portfolio construction with range-based risk measures ⋮ Unnamed Item ⋮ Regularized factor portfolio for cross-sectional multifactor models ⋮ Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios ⋮ THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS ⋮ A sparse chance constrained portfolio selection model with multiple constraints ⋮ Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization ⋮ Convex optimization under combinatorial sparsity constraints ⋮ On the mean and variance of the estimated tangency portfolio weights for small samples ⋮ Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures ⋮ Asset selection based on high frequency Sharpe ratio ⋮ Interaction between financial risk measures and machine learning methods ⋮ Constructing optimal sparse portfolios using regularization methods ⋮ Portfolio selection with skewness: a comparison of methods and a generalized one fund result
Cites Work
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Least angle regression. (With discussion)
- Atomic Decomposition by Basis Pursuit
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- A new approach to variable selection in least squares problems
This page was built for publication: Sparse and stable Markowitz portfolios
