Robust enhanced indexation optimization with sparse industry Layout constraint

DOI10.1016/J.COR.2023.106420MaRDI QIDQ6065610zbMATH OpenFDO

Authors Zhihua Allen-Zhao, Feng-Min Xu, Yuhong Dai, Sanyang Liu

Publication date 15 November 2023

Published in Computers \& Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.COR.2023.106420

zbMATH Keywords

alternating minimization algorithmenhanced indexationgroup-sparse optimizationout-of-sample analysisworst-case CVaR

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

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• Tractable robust expected utility and risk models for portfolio optimization
• Worst-case conditional value-at-risk with application to robust portfolio management
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach

Cited in

(1)

• CORTEX-V: a cognitive reasoning toolkit for vision-based, cost-efficient layout optimization

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