Construction, management, and performance of sparse Markowitz portfolios
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Cites work
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new approach to variable selection in least squares problems
- Atomic decomposition by basis pursuit
- Generalized autoregressive conditional heteroscedasticity
- Graph implementations for nonsmooth convex programs
- Least angle regression. (With discussion)
- Smooth minimization of non-smooth functions
- Sparse and stable Markowitz portfolios
- Temporal Aggregation of Garch Processes
Cited in
(10)- A basket half full: sparse portfolios
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- Penalized least squares for optimal sparse portfolio selection
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- A concave optimization-based approach for sparse portfolio selection
- Three \(l_1\) based nonconvex methods in constructing sparse mean reverting portfolios
- Sparse minimax portfolio and Sharpe ratio models
- Sparse portfolio rebalancing model based on inverse optimization
- Sparse and stable Markowitz portfolios
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