Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization

DOI10.1007/s10589-021-00312-4zbMath1482.90136OpenAlexW3201592758MaRDI QIDQ2057226

Lingchen Kong, Hongxin Zhao, Hou-Duo Qi

Publication date: 8 December 2021

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10589-021-00312-4

zbMATH Keywords

portfolio optimizationminimum variance portfolioout-of-sample performance\(\ell_{1, 2}\)-norm regularizationproximal augmented Lagrange method

Mathematics Subject Classification ID

Convex programming (90C25) Applications of mathematical programming (90C90) Quadratic programming (90C20)

Related Items (1)

Geometric Characterization of Maximum Diversification Return Portfolio via Rao’s Quadratic Entropy

Uses Software

• CVX

Cites Work

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