Partially egalitarian portfolio selection

DOI10.1016/J.ORL.2023.11.008MaRDI QIDQ6556152zbMATH OpenFDO

Authors Yiming Peng, Vadim Linetsky

Publication date 17 June 2024

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2023.11.008

zbMATH Keywords

financial engineeringmachine learningportfolio optimization

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A well-conditioned estimator for large-dimensional covariance matrices
• Best subset selection via a modern optimization lens
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• scientific article; zbMATH DE number 845714 (Why is no real title available?)
• Model Selection and Estimation in Regression with Grouped Variables
• Sparse and stable Markowitz portfolios
• The Stationary Bootstrap

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