Bilevel robust optimization approach for multi-period sparse portfolio selection

DOI10.1016/J.CAM.2025.116729MaRDI QIDQ6972772zbMATH OpenFDO

Authors Serena Crisci, V. De Simone, Monica Pragliola, Gerardo Toraldo

Publication date 11 June 2025

Published in Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.CAM.2025.116729

zbMATH Keywords

ADMMnonsmooth optimizationportfolio selectionrobust optimization

Mathematics Subject Classification ID

Nonsmooth analysis (49J52) Robustness in mathematical programming (90C17) Portfolio theory (91G10)

Cites work

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Cited in

(2)

• Portfolio optimization with expectile value at risk and conditional value at risk: deviation measure and robust allocation
• NAMAS-numerical analysis \& modelling in applied sciences

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