An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection

DOI10.1007/S10479-019-03189-ZMaRDI QIDQ2288970zbMATH OpenOpenAlexWikidataFDO

Authors Jingnan Chen, Gengling Dai, Ning Zhang

Publication date 20 January 2020

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10479-019-03189-z

zbMATH Keywords

\(\ell_1\) regularizationalternating direction method of multipliersportfolio optimizationsector selectionweighted \(\ell_{2,1}\) regularization

Mathematics Subject Classification ID

Ridge regression; shrinkage estimators (Lasso) (62J07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• An iterative thresholding algorithm for linear inverse problems with a sparsity constraint
• Distributed optimization and statistical learning via the alternating direction method of multipliers
• Fast Algorithms for Large-Scale Generalized Distance Weighted Discrimination
• Feature selection for portfolio optimization
• Financial analysis based sectoral portfolio optimization under second order stochastic dominance
• Hankel matrix rank minimization with applications to system identification and realization
• On alternating direction methods of multipliers: a historical perspective
• On the role of norm constraints in portfolio selection
• Robust equity portfolio performance
• Robust portfolios: contributions from operations research and finance
• Sparse and stable Markowitz portfolios
• Technical note: A robust perspective on transaction costs in portfolio optimization
• Variational Analysis

Cited in

(13)

• Sparse factor model based on trend filtering
• Group sparse enhanced indexation model with adaptive beta value
• Portfolio selection with regularization
• Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios
• A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
• Nonconvex multi-period mean-variance portfolio optimization
• Subspace Newton method for sparse group \(\ell_0\) optimization problem
• Constrained mix sparse optimization via hard thresholding pursuit
• Multi-period mean-variance portfolio optimization with capital injections
• Iterative mix thresholding algorithm with continuation technique for mix sparse optimization and application
• An exact penalty method for group-sparse portfolio selection
• Recovery bounds for cardinality regularized optimization problem
• A regularized mixed integer linear programming framework with penalties for integrated workforce, subcontracting and production optimization

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