A concave optimization-based approach for sparse portfolio selection
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Cites work
- 10.1162/153244303322753751
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A population-based approach for hard global optimization problems based on dissimilarity measures
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- Computing efficient frontiers using estimated parameters
- Concave programming for minimizing the zero-norm over polyhedral sets
- Global optimization on funneling landscapes
- Portfolio selection with robust estimation
- Products of trees for investment analysis
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Cited in
(29)- Mathematical programs with cardinality constraints: reformulation by complementarity-type conditions and a regularization method
- Convergence of nonmonotone proximal gradient methods under the Kurdyka-Łojasiewicz property without a global Lipschitz assumption
- Convergence Analysis of the Proximal Gradient Method in the Presence of the Kurdyka–Łojasiewicz Property Without Global Lipschitz Assumptions
- A penalty PALM method for sparse portfolio selection problems
- Constructing optimal sparse portfolios using regularization methods
- Sparsity penalized mean-variance portfolio selection: analysis and computation
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- Cardinality minimization, constraints, and regularization: a survey
- Relaxed method for optimization problems with cardinality constraints
- Global optimization for sparse solution of least squares problems
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Fast algorithms for sparse portfolio selection considering industries and investment styles
- Second-order optimality conditions and improved convergence results for regularization methods for cardinality-constrained optimization problems
- Constraint qualifications and optimality conditions for optimization problems with cardinality constraints
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization
- Adaptive l₁-regularization for short-selling control in portfolio selection
- Solving cardinality constrained mean-variance portfolio problems via MILP
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization
- Sequential optimality conditions for cardinality-constrained optimization problems with applications
- An augmented Lagrangian method for cardinality-constrained optimization problems
- Tighter yet more tractable relaxations and nontrivial instance generation for sparse standard quadratic optimization
- A concave optimization-based approach for sparse multiobjective programming
- A sparse chance constrained portfolio selection model with multiple constraints
- Sparse approximation over the cube
- Linear vs. quadratic portfolio selection models with hard real-world constraints
- A smoothing method for sparse optimization over convex sets
- Convergence properties of monotone and nonmonotone proximal gradient methods revisited
- On a Reformulation of Mathematical Programs with Cardinality Constraints
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