Sparse graphical modelling for global minimum variance portfolio

DOI10.1007/S10287-025-00535-4MaRDI QIDQ6954988zbMATH OpenFDO

Authors Riccardo Riccobello, Giovanni Bonaccolto, Philipp J. Kremer, Piotr Sobczyk, Małgorzata Bogdan, Sandra Paterlini

Publication date 23 July 2025

Published in Computational Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10287-025-00535-4

zbMATH Keywords

graphical slopeminimum variance portfolioprecision matrix estimationTslope

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Cited in

(3)

• An _0-constrained and _1-regularized estimator for graphical models
• Pattern recovery by SLOPE
• Extending GLASSO to non-Gaussian settings: sparse concentration estimation via EM algorithm

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