Penalized least squares for optimal sparse portfolio selection

MaRDI QIDQ3295342zbMATHFDO

Authors Björn Fastrich, Sandra Paterlini, Peter Winker

Publication date 8 July 2020

zbMATH Keywords

Lassoregularizationpenalized least squaresnon-convex penaltiesminimum variance portfolios

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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(10)

• Weighted elastic net penalized mean-variance portfolio design and computation
• Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
• Constructing optimal sparse portfolios using regularization methods
• Sparse and stable Markowitz portfolios
• Sparse weighted-norm minimum variance portfolios
• A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection
• A penalty PALM method for sparse portfolio selection problems
• Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

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