Closed-form solutions for short-term sparse portfolio optimization

DOI10.1080/02331934.2020.1839071MaRDI QIDQ5090290zbMATH OpenOpenAlexFDO

Authors Ziyan Luo, Xiaotong Yu, Naihua Xiu, Xingyuan Wang

Publication date 18 July 2022

Published in Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/02331934.2020.1839071

zbMATH Keywords

\(\ell_0\)-normclosed-form solutionshort-term portfolio optimizationsparse optimization

Mathematics Subject Classification ID

Nonconvex programming, global optimization (90C26) Applications of mathematical programming (90C90)

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Cites work

• A Robust Statistics Approach to Minimum Variance Portfolio Optimization
• Credit portfolio selection with decaying contagion intensities
• Fast algorithms for sparse portfolio selection considering industries and investment styles
• scientific article; zbMATH DE number 2243362 (Why is no real title available?)
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Optimal cardinality constrained portfolio selection
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Regularizing portfolio optimization
• Robust and sparse portfolio model for index tracking
• Short-term sparse portfolio optimization based on alternating direction method of multipliers
• Sparse and stable Markowitz portfolios
• Weighted elastic net penalized mean-variance portfolio design and computation

Cited in

(6)

• High-dimensional sparse portfolio selection with nonnegative constraint
• scientific article; zbMATH DE number 5008178 (Why is no real title available?)
• Short-term sparse portfolio optimization based on alternating direction method of multipliers
• Loss control with rank-one covariance estimate for short-term portfolio optimization
• A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level
• Sparse portfolio optimization via _1 over _2 regularization

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