High-dimensional sparse portfolio selection with nonnegative constraint (Q2700403)

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English	High-dimensional sparse portfolio selection with nonnegative constraint	scientific article

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scholarly article

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High-dimensional sparse portfolio selection with nonnegative constraint (English)

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Applied Mathematics and Computation

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publication date

21 April 2023

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zbMATH Keywords

portfolio selection

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regression

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nonconcave penalty

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SCAD

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.amc.2022.127766

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An evolutionary heuristic for the index tracking problem.

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Sparse and stable Markowitz portfolios

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Sparse Portfolios for High-Dimensional Financial Index Tracking

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Coordinate descent algorithms for nonconvex penalized regression, with applications to biological feature selection

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Multiple penalized regularization for clusters with varying correlation levels

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Robust portfolio selection using linear-matrix inequalities

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Statistical Foundations of Data Science

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Nonconcave penalized likelihood with a diverging number of parameters.

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Vast Portfolio Selection With Gross-Exposure Constraints

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Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

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Model selection and estimation in high dimensional regression models with group SCAD

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Model determination and estimation for the growth curve model via group SCAD penalty

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Asymptotic oracle properties of SCAD-penalized least squares estimators

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Smoothly Clipped Absolute Deviation on High Dimensions

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Closed-form solutions for short-term sparse portfolio optimization

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High-dimensional graphs and variable selection with the Lasso

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Lasso-type recovery of sparse representations for high-dimensional data

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Non-negative least squares for high-dimensional linear models: consistency and sparse recovery without regularization

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High-dimensional generalized linear models and the lasso

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Quadratic Approximation via the SCAD Penalty with a Diverging Number of Parameters

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Nonnegative elastic net and application in index tracking

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Nonnegative-Lasso and application in index tracking

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SCAD-penalized regression in high-dimensional partially linear models

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Nonnegative adaptive Lasso for ultra-high dimensional regression models and a two-stage method applied in financial modeling

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On the Non-Negative Garrotte Estimator

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Robust and sparse portfolio model for index tracking

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Nearly unbiased variable selection under minimax concave penalty

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The sparsity and bias of the LASSO selection in high-dimensional linear regression

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Regularization and Variable Selection Via the Elastic Net

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Identifiers

10.1016/j.amc.2022.127766

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:2700403

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