Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
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Cites work
- scientific article; zbMATH DE number 53115 (Why is no real title available?)
- scientific article; zbMATH DE number 1502618 (Why is no real title available?)
- A Quadratically Convergent Newton Method for Computing the Nearest Correlation Matrix
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- A new method for mean-variance portfolio optimization with cardinality constraints
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- Algorithm for cardinality-constrained quadratic optimization
- An augmented Lagrangian method for non-Lipschitz nonconvex programming
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- An exact solution approach for portfolio optimization problems under stochastic and integer constraints
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Constraint Qualifications and Necessary Optimality Conditions for Optimization Problems with Variational Inequality Constraints
- Decoding by Linear Programming
- Improving the performance of MIQP solvers for quadratic programs with cardinality and minimum threshold constraints: a semidefinite program approach
- Monte Carlo methods for mean-risk optimization and portfolio selection
- Nonconvex \(L_{1/2}\) regularization for sparse portfolio selection
- Optimal cardinality constrained portfolio selection
- Positive-definite \(\ell_1\)-penalized estimation of large covariance matrices
- Quantitative risk management. Concepts, techniques and tools
- Smoothing methods for nonsmooth, nonconvex minimization
- Sparse Approximate Solutions to Linear Systems
- Sparse and stable Markowitz portfolios
- Sparse solutions of linear complementarity problems
Cited in
(9)- Penalty method for the sparse portfolio optimization problem
- On Monte-Carlo methods in convex stochastic optimization
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios
- A concave optimization-based approach for sparse portfolio selection
- Lifted stationary points of sparse optimization with complementarity constraints
- Construction, management, and performance of sparse Markowitz portfolios
- Sparse and stable Markowitz portfolios
- Sparse and risk diversification portfolio selection
- Robust multi-period and multi-objective portfolio selection
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