Pages that link to "Item:Q1623568"
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The following pages link to Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568):
Displayed 22 items.
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224) (← links)
- \(l_1\)-regularization for multi-period portfolio selection (Q827241) (← links)
- Genetic algorithm versus classical methods in sparse index tracking (Q1693854) (← links)
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Portfolio optimization using Laplacian biogeography based optimization (Q2009199) (← links)
- Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) (← links)
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226) (← links)
- On the long-only minimum variance portfolio under single factor model (Q2060386) (← links)
- Penalized and constrained LAD estimation in fixed and high dimension (Q2122803) (← links)
- Sparse and robust mean-variance portfolio optimization problems (Q2158966) (← links)
- Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
- Un-diversifying during crises: is it a good idea? (Q2320465) (← links)
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection (Q2419515) (← links)
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) (← links)
- Efficient computation of mean reverting portfolios using cyclical coordinate descent (Q5014198) (← links)
- A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection (Q5034163) (← links)
- Sparse index clones via the sorted ℓ<sub>1</sub>-Norm (Q5068095) (← links)
- High-dimensional index tracking based on the adaptive elastic net (Q5139249) (← links)
- Portfolio Selection with Regularization (Q5865917) (← links)
- A bi‐level programming framework for identifying optimal parameters in portfolio selection (Q6092501) (← links)
- Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint (Q6108639) (← links)