Pages that link to "Item:Q645500"

The following pages link to On the role of norm constraints in portfolio selection (Q645500):

Displaying 17 items.

• Robust scenario-based value-at-risk optimization (Q286009) (← links)
• Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224) (← links)
• Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
• Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084) (← links)
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
• Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
• Relative utility bounds for empirically optimal portfolios (Q2040434) (← links)
• Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331) (← links)
• An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection (Q2288970) (← links)
• A closer look at the minimum-variance portfolio optimization model (Q2300406) (← links)
• Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
• Diversified minimum-variance portfolios (Q2351637) (← links)
• Interaction between financial risk measures and machine learning methods (Q2355190) (← links)
• Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization (Q4971373) (← links)
• Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio (Q5129173) (← links)
• Norm constrained minimum variance portfolios with short selling (Q6088763) (← links)
• Cardinality-constrained distributionally robust portfolio optimization (Q6112845) (← links)