Sparse and stable Markowitz portfolios
From MaRDI portal
Publication:3069222
DOI10.1073/pnas.0904287106zbMath1203.91271arXiv0708.0046OpenAlexW2105630053WikidataQ37282512 ScholiaQ37282512MaRDI QIDQ3069222
Domenico Giannone, Ingrid Daubechies, Ignace Loris, Christine De Mol, Joshua Brodie
Publication date: 24 January 2011
Published in: Proceedings of the National Academy of Sciences (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0708.0046
Related Items
A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection, \(l_1\)-regularization for multi-period portfolio selection, Risk minimization in multi-factor portfolios: what is the best strategy?, Tracking hedge funds returns using sparse clones, The effect of regularization in portfolio selection problems, A linear programming model for selection of sparse high-dimensional multiperiod portfolios, Solving norm constrained portfolio optimization via coordinate-wise descent algorithms, Robust scenario-based value-at-risk optimization, Fast projection onto the simplex and the \(l_1\) ball, Sparse solutions of linear complementarity problems, Asymptotics for high-dimensional covariance matrices and quadratic forms with applications to the trace functional and shrinkage, Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach, Dynamic portfolio optimization across hidden market regimes, Portfolio optimization under Expected Shortfall: contour maps of estimation error, Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation, Optimal execution with non-linear transient market impact, Sparse index clones via the sorted ℓ1-Norm, Sparse and robust mean-variance portfolio optimization problems, Unnamed Item, Sparse minimax portfolio and Sharpe ratio models, Split Bregman iteration for multi-period mean variance portfolio optimization, Sparse recovery under matrix uncertainty, Closed-form solutions for short-term sparse portfolio optimization, Using principal component analysis to estimate a high dimensional factor model with high-frequency data, Wavelet transform with special boundary treatment for 1D data, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, Adaptive \(l_1\)-regularization for short-selling control in portfolio selection, Primal path algorithm for compositional data analysis, Resolution of Degeneracy in Merton's Portfolio Problem, Uniqueness of DRS as the 2 operator resolvent-splitting and impossibility of 3 operator resolvent-splitting, High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators, An Augmented Lagrangian Method for Non-Lipschitz Nonconvex Programming, Structural properties of affine sparsity constraints, A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems, Sparse tangent portfolio selection via semi-definite relaxation, Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach, Construction, management, and performance of sparse Markowitz portfolios, An iterative algorithm for sparse and constrained recovery with applications to divergence-free current reconstructions in magneto-encephalography, Minimizing loss probability bounds for portfolio selection, A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers, High-dimensional sparse portfolio selection with nonnegative constraint, On the role of norm constraints in portfolio selection, A new conceptual framework for the therapy by optimized multidimensional pulses of therapeutic activity. The case of multiple myeloma model, Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio, Sparse Markowitz portfolio selection by using stochastic linear complementarity approach, Mathematical programs with complementarity constraints and a non-Lipschitz objective: optimality and approximation, An adaptive primal-dual framework for nonsmooth convex minimization, Asset allocation under predictability and parameter uncertainty using Lasso, Replica approach to mean-variance portfolio optimization, Analytic solution to variance optimization with no short positions, Risks of large portfolios, Positive-Definite ℓ1-Penalized Estimation of Large Covariance Matrices, Fused Lasso approach in portfolio selection, DC formulations and algorithms for sparse optimization problems, The Trimmed Lasso: Sparse Recovery Guarantees and Practical Optimization by the Generalized Soft-Min Penalty, Statistical inference for the tangency portfolio in high dimension, Nonasymptotic convergence of stochastic proximal point algorithms for constrained convex optimization, Penalized least squares estimation with weakly dependent data, Vast Portfolio Selection With Gross-Exposure Constraints, Shrinkage for covariance estimation: asymptotics, confidence intervals, bounds and applications in sensor monitoring and finance, Bayesian emulation for multi-step optimization in decision problems, L1Packv2: A Mathematica package for minimizing an \(\ell _{1}\)-penalized functional, Dynamic portfolio optimization across hidden market regimes, Kurdyka-Łojasiewicz property of zero-norm composite functions, The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors, Regularized optimization with spatial coupling for robust decision making, Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach, Parameter-free robust optimization for the maximum-Sharpe portfolio problem, Asset allocation strategies based on penalized quantile regression, Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions, Multi-period portfolio selection with drawdown control, An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection, Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios, A closer look at the minimum-variance portfolio optimization model, Quantile-based portfolios: post-model-selection estimation with alternative specifications, An efficient optimization approach for a cardinality-constrained index tracking problem, Sparse partial least squares regression for on‐line variable selection with multivariate data streams, LIQUIDITY RISK AND INSTABILITIES IN PORTFOLIO OPTIMIZATION, Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization, Dynamic variable selection with spike-and-slab process priors, On the long-only minimum variance portfolio under single factor model, Tikhonov regularization with \({\ell^{0}}\)-term complementing a convex penalty: \({\ell^{1}}\)-convergence under sparsity constraints, Sparse factor model based on trend filtering, A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection, Sparse precision matrices for minimum variance portfolios, Un-diversifying during crises: is it a good idea?, A cost-effective approach to portfolio construction with range-based risk measures, Unnamed Item, Regularized factor portfolio for cross-sectional multifactor models, Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios, THE EFFECT OF ESTIMATION IN HIGH-DIMENSIONAL PORTFOLIOS, A sparse chance constrained portfolio selection model with multiple constraints, Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization, Convex optimization under combinatorial sparsity constraints, On the mean and variance of the estimated tangency portfolio weights for small samples, Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures, Asset selection based on high frequency Sharpe ratio, Interaction between financial risk measures and machine learning methods, Constructing optimal sparse portfolios using regularization methods, Portfolio selection with skewness: a comparison of methods and a generalized one fund result, Portfolio optimisation using constrained hierarchical bayes models, Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection, Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios, Portfolio management with higher moments: the cardinality impact, A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints, A novel regularization-based optimization approach to sparse mean-reverting portfolios selection, On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates, A bi‐level programming framework for identifying optimal parameters in portfolio selection, Sparse and risk diversification portfolio selection, Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models, Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint, A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION, Bagged Pretested Portfolio Selection, Sparse solution of nonnegative least squares problems with applications in the construction of probabilistic Boolean networks, Stochastic regularization for the mean-variance allocation scheme, Cardinality versusq-norm constraints for index tracking, Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor, Higher order moments of the estimated tangency portfolio weights, Portfolio Selection with Regularization, A penalty PALM method for sparse portfolio selection problems
Cites Work
- Forecasting using a large number of predictors: is Bayesian shrinkage a valid alternative to principal components?
- Least angle regression. (With discussion)
- Atomic Decomposition by Basis Pursuit
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
- A new approach to variable selection in least squares problems
