scientific article; zbMATH DE number 7008319

zbMath1420.91422MaRDI QIDQ4614099

Zhao-Rong Lai, Liangda Fang, Xiaotian Wu, Pei-Yi Yang

Publication date: 30 January 2019

Full work available at URL: http://jmlr.csail.mit.edu/papers/v19/17-558.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

alternating direction method of multiplierssparse portfolioshort-term portfolio optimization

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

Related Items (8)

Adaptive online portfolio strategy based on exponential gradient updates ⋮ Unnamed Item ⋮ Closed-form solutions for short-term sparse portfolio optimization ⋮ High-dimensional sparse portfolio selection with nonnegative constraint ⋮ Kernel-based aggregating learning system for online portfolio optimization ⋮ A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level ⋮ Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization ⋮ Online portfolio selection with long-short term forecasting

Uses Software

• OLPS
• PAMR

Cites Work

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• Unnamed Item
• Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Near-ideal model selection by \(\ell _{1}\) minimization
• Universal portfolios with and without transaction costs.
• Multi-Period Mean-Variance Portfolio Optimization With High-Order Coupled Asset Dynamics
• Sparse and stable Markowitz portfolios
• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
• Prospect Theory: An Analysis of Decision under Risk
• Universal Portfolios
• The multivariate L ₁ -median and associated data depth
• A Robust Statistics Approach to Minimum Variance Portfolio Optimization
• Regularizing portfolio optimization
• Portfolio optimization for cointelated pairs: SDEs vs Machine learning
• Online portfolio selection
• Minimization of $\ell_{1-2}$ for Compressed Sensing
• Regularization and Variable Selection Via the Elastic Net
• NONPARAMETRIC KERNEL‐BASED SEQUENTIAL INVESTMENT STRATEGIES

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