Sparse and risk diversification portfolio selection

DOI10.1007/S11590-022-01914-5MaRDI QIDQ6097487zbMATH OpenOpenAlexFDO

Authors Qian Li, Wei Zhang

Publication date 5 June 2023

Published in Optimization Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11590-022-01914-5

zbMATH Keywords

accelerated proximal algorithmlinear convergencenon-convex regularizationsparse portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Sparse minimax portfolio and Sharpe ratio models

Cites work

• A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• A new piecewise quadratic approximation approach for \(L_0\) norm minimization problem
• Active allocation of systematic risk and control of risk sensitivity in portfolio optimization
• An efficient optimization approach for a cardinality-constrained index tracking problem
• Constructing optimal sparse portfolios using regularization methods
• Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems
• Enhancing sparsity by reweighted \(\ell _{1}\) minimization
• Introduction to risk parity and budgeting
• L 1/2 regularization
• Linear convergence of proximal gradient algorithm with extrapolation for a class of nonconvex nonsmooth minimization problems
• Nearly unbiased variable selection under minimax concave penalty
• Portfolio selection with marginal risk control
• Portfolio selection with robust estimation
• Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
• Recent advances in mathematical programming with semi-continuous variables and cardinality constraint
• Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming
• Restricted isometry properties and nonconvex compressive sensing
• Sparse and stable Markowitz portfolios
• Splitting Algorithms for the Sum of Two Nonlinear Operators
• Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
• Vast portfolio selection with gross-exposure constraints

Cited in

(8)

• Sparse Markowitz portfolio selection by using stochastic linear complementarity approach
• Un-diversifying during crises: is it a good idea?
• Sparse Portfolios for High-Dimensional Financial Index Tracking
• Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection
• Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection
• Nonconvex multi-period mean-variance portfolio optimization
• An exact penalty method for group-sparse portfolio selection

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