Construction, management, and performance of sparse Markowitz portfolios
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Publication:905387
DOI10.1515/SNDE-2012-0010zbMATH Open1329.91124OpenAlexW3125380281MaRDI QIDQ905387FDOQ905387
Authors: Julie Henriques, Juan-Pablo Ortega 
Publication date: 19 January 2016
Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1515/snde-2012-0010
Recommendations
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- Constructing optimal sparse portfolios using regularization methods
- Sparse minimax portfolio and Sharpe ratio models
Cites Work
- Generalized autoregressive conditional heteroscedasticity
- Least angle regression. (With discussion)
- Title not available (Why is that?)
- Smooth minimization of non-smooth functions
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new approach to variable selection in least squares problems
- Temporal Aggregation of Garch Processes
- Graph implementations for nonsmooth convex programs
- Atomic decomposition by basis pursuit
- Sparse and stable Markowitz portfolios
Cited In (10)
- 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
- A concave optimization-based approach for sparse portfolio selection
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
- 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
- A basket half full: sparse portfolios
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