Pages that link to "Item:Q1623568"

The following pages link to Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568):

Displayed 22 items.

• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224) ‎ (← links)
• \(l_1\)-regularization for multi-period portfolio selection (Q827241) ‎ (← links)
• Genetic algorithm versus classical methods in sparse index tracking (Q1693854) ‎ (← links)
• Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) ‎ (← links)
• Asset allocation strategies based on penalized quantile regression (Q1789637) ‎ (← links)
• Portfolio optimization using Laplacian biogeography based optimization (Q2009199) ‎ (← links)
• Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) ‎ (← links)
• Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226) ‎ (← links)
• On the long-only minimum variance portfolio under single factor model (Q2060386) ‎ (← links)
• Penalized and constrained LAD estimation in fixed and high dimension (Q2122803) ‎ (← links)
• Sparse and robust mean-variance portfolio optimization problems (Q2158966) ‎ (← links)
• Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) ‎ (← links)
• Un-diversifying during crises: is it a good idea? (Q2320465) ‎ (← links)
• Adaptive \(l_1\)-regularization for short-selling control in portfolio selection (Q2419515) ‎ (← links)
• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) ‎ (← links)
• Efficient computation of mean reverting portfolios using cyclical coordinate descent (Q5014198) ‎ (← links)
• A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection (Q5034163) ‎ (← links)
• Sparse index clones via the sorted ℓ₁-Norm (Q5068095) ‎ (← links)
• High-dimensional index tracking based on the adaptive elastic net (Q5139249) ‎ (← links)
• Portfolio Selection with Regularization (Q5865917) ‎ (← links)
• A bi‐level programming framework for identifying optimal parameters in portfolio selection (Q6092501) ‎ (← links)
• Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint (Q6108639) ‎ (← links)