Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios
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Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- 60 years of portfolio optimization: practical challenges and current trends
- A MEAN-VARIANCE-SKEWNESS PORTFOLIO OPTIMIZATION MODEL
- A mean-absolute deviation-skewness portfolio optimization model
- A robust approach based on conditional value-at-risk measure to statistical learning problems
- A well-conditioned and sparse estimation of covariance and inverse covariance matrices using a joint penalty
- A well-conditioned estimator for large-dimensional covariance matrices
- Adaptive covariance matrix estimation through block thresholding
- Calibrating nonconvex penalized regression in ultra-high dimension
- Coherent measures of risk
- Conditional value-at-risk in portfolio optimization: coherent but fragile
- Constructing optimal sparse portfolios using regularization methods
- Covariance regularization by thresholding
- Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Enhancing sparsity by reweighted \(\ell _{1}\) minimization
- From stochastic dominance to mean-risk models: Semideviations as risk measures
- Mean-risk models using two risk measures: a multi-objective approach
- Model Selection via Bayesian Information Criterion for Quantile Regression Models
- On the role of norm constraints in portfolio selection
- Positive definite estimators of large covariance matrices
- Sparse and stable Markowitz portfolios
- Sparse inverse covariance estimation with the graphical lasso
- Variable selection in quantile regression
- Vast portfolio selection with gross-exposure constraints
Cited in
(7)- Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
- Resolution of degeneracy in Merton's portfolio problem
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
- The sparse method of simulated quantiles: An application to portfolio optimization
- High-dimensional sparse portfolio selection with nonnegative constraint
- High-frequency portfolio optimization with long-term CVaR constraints
- Asymptotic behavior of Mean-CVaR portfolio selection model under nonparametric framework
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