A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION

DOI10.1142/S0219024923500127MaRDI QIDQ6182050zbMATH OpenFDO

Authors

Publication date 23 January 2024

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024923500127

zbMATH Keywords

asymptotic consistencyMarkowitz mean-variance portfolio optimizationsparsity

Mathematics Subject Classification ID

Linear programming (90C05) Portfolio theory (91G10)

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Cites work

• A constrained \(\ell _{1}\) minimization approach to sparse precision matrix estimation
• A direct estimation approach to sparse linear discriminant analysis
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A unified model for regularized and robust portfolio optimization
• A well-conditioned estimator for large-dimensional covariance matrices
• Adaptive thresholding for sparse covariance matrix estimation
• Covariance regularization by thresholding
• DASSO: Connections Between the Dantzig Selector and Lasso
• Design-free estimation of variance matrices
• Estimating sparse precision matrix: optimal rates of convergence and adaptive estimation
• scientific article; zbMATH DE number 3244317 (Why is no real title available?)
• Large-scale minimum variance portfolio allocation using double regularization
• Nonlinear shrinkage estimation of large-dimensional covariance matrices
• Nonparametric eigenvalue-regularized precision or covariance matrix estimator
• Optimal Feature Selection in High-Dimensional Discriminant Analysis
• Robust estimation of high-dimensional covariance and precision matrices
• Shrinkage estimation of mean-variance portfolio
• Sparse and robust mean-variance portfolio optimization problems
• Sparse and stable Markowitz portfolios
• Statistics for high-dimensional data. Methods, theory and applications.
• Variable selection of linear programming discriminant estimator
• Vast portfolio selection with gross-exposure constraints

Cited in

(1)

• A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level

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