Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255)

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Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
scientific article

    Statements

    title
    Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (English)
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    author
    Michael Ho
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    Zheng Sun
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    Jack X. Xin
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    publication date
    21 January 2016
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    zbMATH Keywords
    mean-variance portfolio
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    parameter uncertainty
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    weighted elastic net regularization
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    statistical weight estimation
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    adaptive support split-Bregman
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    fast computation
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    pairwise elastic net regularization
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    cites work
    Q4821526
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    Q3185327
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    Numerical Optimization
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    Identifiers

    DOI
    10.1137/15M1007872
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    Mathematics Subject Classification ID
    91G10
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    65K10
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    62F35
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    62F40
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    91G70
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    zbMATH DE Number
    6533895
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    arXiv ID
    1502.01658
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    OpenAlex ID
    W1719995771
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