On the role of norm constraints in portfolio selection
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Cites work
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Cited in
(31)- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- Asset allocation strategies based on penalized quantile regression
- Relative utility bounds for empirically optimal portfolios
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection
- A closer look at the minimum-variance portfolio optimization model
- Improved estimation of optimal portfolio with an application to the US stock market
- Diversified minimum-variance portfolios
- Interaction between financial risk measures and machine learning methods
- Robust scenario-based value-at-risk optimization
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Minimizing loss probability bounds for portfolio selection
- Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice
- CVaR norm and applications in optimization
- Technical note: A robust perspective on transaction costs in portfolio optimization
- Out-of-sample utility bounds for empirically optimal portfolios in a single-period investment problem
- Portfolio construction by mitigating error amplification: the bounded-noise portfolio
- Portfolio selection with regularization
- Norm constrained minimum variance portfolios with short selling
- Cardinality-constrained distributionally robust portfolio optimization
- Weight bound constraints in mean-variance models: a robust control theory foundation via machine learning
- A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level
- Addressing estimation errors on expected asset returns through robust portfolio optimization
- Nonconvex truncated conditional value at risk-based sparse linear regression
- Discrete level-bundle method for mean-CVaR portfolio optimization with cardinality constraint
- Enhancing index-tracking performance: leveraging characteristic-based factor models for reduced estimation errors
- Distributionally robust mean-CVaR portfolio optimization with cardinality constraint
- Cardinality-constrained maximal predictability portfolios with an _2 regularization
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach
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