Sparse and Stable Portfolio Selection With Parameter Uncertainty

DOI10.1080/07350015.2014.954708MaRDI QIDQ6667035zbMATH OpenFDO

Authors J. H. Li

Publication date 20 January 2025

Published in Journal of Business and Economic Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07350015.2014.954708

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cited in

(4)

• Deep learning based residuals in non-linear factor models: precision matrix estimation of returns with low signal-to-noise ratio
• A multiobjective optimization model for selecting portfolios in emerging financial markets under uncertainty
• Sparse graphical modelling for global minimum variance portfolio
• A regularization approach to optimizing large portfolios under asymmetries in returns and risk attitudes

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