Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach

DOI10.1007/S11081-018-9374-9zbMATH Open1397.91549OpenAlexW2792521905MaRDI QIDQ1787328FDOQ1787328

Authors: Julio B. Clempner, Alexander S. Poznyak 

Publication date: 5 October 2018

Published in: Optimization and Engineering (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11081-018-9374-9

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zbMATH Keywords

Markov decision processespenalty functionsparseTikhonov's regularizationmean-variance customer portfolio

Mathematics Subject Classification ID

Numerical mathematical programming methods (65K05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10) Markov and semi-Markov decision processes (90C40)

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Cited In (2)

• Universal portfolio selection strategy by aggregating online expert advice
• Observer and control design in partially observable finite Markov chains

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