Sparse and risk diversification portfolio selection
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Cites work
- A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new piecewise quadratic approximation approach for \(L_0\) norm minimization problem
- Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
- An efficient optimization approach for a cardinality-constrained index tracking problem
- Constructing optimal sparse portfolios using regularization methods
- Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- Introduction to risk parity and budgeting
- L 1/2 regularization
- Linear convergence of proximal gradient algorithm with extrapolation for a class of nonconvex nonsmooth minimization problems
- Nearly unbiased variable selection under minimax concave penalty
- Portfolio selection with marginal risk control
- Portfolio selection with robust estimation
- Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
- Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
- Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
- Restricted isometry properties and nonconvex compressive sensing
- Sparse and stable Markowitz portfolios
- Splitting Algorithms for the Sum of Two Nonlinear Operators
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Vast portfolio selection with gross-exposure constraints
Cited in
(8)- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- Un-diversifying during crises: is it a good idea?
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
- Nonconvex multi-period mean-variance portfolio optimization
- An exact penalty method for group-sparse portfolio selection
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