Conditional value-at-risk portfolio optimization in high dimensions
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Cites work
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- A well-conditioned estimator for large-dimensional covariance matrices
- An error bound for L₁-norm support vector machine coefficients in ultra-high dimension
- Analytical nonlinear shrinkage of large-dimensional covariance matrices
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- Coherent measures of risk
- Compressive sampling
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- Convex analysis and monotone operator theory in Hilbert spaces
- Data-driven robust mean-CVaR portfolio selection under distribution ambiguity
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
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- Minimax Rates of Estimation for High-Dimensional Linear Regression Over \ell_q-Balls
- Nearly unbiased variable selection under minimax concave penalty
- New Bounds for Restricted Isometry Constants
- On the interchange of subdifferentiation and conditional expectation for convex functionals
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Regularizing portfolio optimization
- Robust uncertainty principles: exact signal reconstruction from highly incomplete frequency information
- Simultaneous analysis of Lasso and Dantzig selector
- Sparse and stable Markowitz portfolios
- Statistical challenges of high-dimensional data
- Threshold value of the penalty parameter in the minimization of \(L_1\)-penalized conditional value-at-risk
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
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