Sparse and robust mean-variance portfolio optimization problems

DOI10.1016/J.PHYSA.2019.04.151MaRDI QIDQ2158966zbMATH OpenOpenAlexWikidataFDO

Authors Fei Wang, Zhifeng Dai

Publication date 26 July 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2019.04.151

zbMATH Keywords

regularizationportfolio optimizationrobust optimizationmean-variance portfolio

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Recommendations

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Cites work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Constructing optimal sparse portfolios using regularization methods
• Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization
• On Polyhedral Approximations of the Second-Order Cone
• Robust Portfolio Selection Problems
• Robust Solutions of Uncertain Quadratic and Conic-Quadratic Problems
• Robust Solutions to Uncertain Semidefinite Programs
• Robust asset allocation
• Robust portfolio selection with a combined WCVaR and factor model
• Robust scenario-based value-at-risk optimization
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
• Sparse and stable Markowitz portfolios
• Technical Note—Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming
• Vast portfolio selection with gross-exposure constraints
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Worst-case conditional value-at-risk with application to robust portfolio management
• Worst-case range value-at-risk with partial information

Cited in

(7)

• A basket half full: sparse portfolios
• Relaxed-inertial derivative-free algorithm for systems of nonlinear pseudo-monotone equations
• A new mean-variance-entropy model for uncertain portfolio optimization with liquidity and diversification
• Multi-period portfolio selection based on uncertainty theory with bankruptcy control and liquidity
• Two nonparametric approaches to mean absolute deviation portfolio selection model
• A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION
• Robust minimum cost consensus model for multicriteria decision-making under uncertain circumstances

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