Sparse long-only Markowitz portfolio optimization
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Cites work
- A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
- Adaptive online mean-variance portfolio selection with transaction costs
- Constructing optimal sparse portfolios using regularization methods
- Distributed optimization and statistical learning via the alternating direction method of multipliers
- Global convergence of ADMM in nonconvex nonsmooth optimization
- High dimensional minimum variance portfolio estimation under statistical factor models
- High-dimensional minimum variance portfolio estimation based on high-frequency data
- High-Dimensional Portfolio Selection with Cardinality Constraints
- scientific article; zbMATH DE number 845714 (Why is no real title available?)
- Likelihood-based selection and sharp parameter estimation
- Nearly unbiased variable selection under minimax concave penalty
- Portfolio Analysis of Investments in Risk Management
- Portfolio selection with robust estimation
- Robustifying Markowitz
- Sparse and stable Markowitz portfolios
- Sparse and Stable Portfolio Selection With Parameter Uncertainty
- Sparse portfolio optimization via _1 over _2 regularization
- Sparse weighted-norm minimum variance portfolios
- Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties
- Vast portfolio selection with gross-exposure constraints
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