Pages that link to "Item:Q3069222"
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The following pages link to Sparse and stable Markowitz portfolios (Q3069222):
Displaying 50 items.
- On the mean and variance of the estimated tangency portfolio weights for small samples (Q2103309) (← links)
- Asset selection based on high frequency Sharpe ratio (Q2116331) (← links)
- Sparse and robust mean-variance portfolio optimization problems (Q2158966) (← links)
- Sparse minimax portfolio and Sharpe ratio models (Q2165774) (← links)
- Primal path algorithm for compositional data analysis (Q2189589) (← links)
- Uniqueness of DRS as the 2 operator resolvent-splitting and impossibility of 3 operator resolvent-splitting (Q2191769) (← links)
- A subspace-accelerated split Bregman method for sparse data recovery with joint \(\ell_1\)-type regularizers (Q2208931) (← links)
- Mathematical programs with complementarity constraints and a non-Lipschitz objective: optimality and approximation (Q2220667) (← links)
- An adaptive primal-dual framework for nonsmooth convex minimization (Q2220901) (← links)
- Asset allocation under predictability and parameter uncertainty using Lasso (Q2221462) (← links)
- Fused Lasso approach in portfolio selection (Q2241053) (← links)
- Multi-period portfolio selection with drawdown control (Q2288940) (← links)
- An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection (Q2288970) (← links)
- A closer look at the minimum-variance portfolio optimization model (Q2300406) (← links)
- Tikhonov regularization with \({\ell^{0}}\)-term complementing a convex penalty: \({\ell^{1}}\)-convergence under sparsity constraints (Q2316708) (← links)
- Sparse precision matrices for minimum variance portfolios (Q2320464) (← links)
- Un-diversifying during crises: is it a good idea? (Q2320465) (← links)
- Interaction between financial risk measures and machine learning methods (Q2355190) (← links)
- Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
- Portfolio selection with skewness: a comparison of methods and a generalized one fund result (Q2355960) (← links)
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection (Q2419515) (← links)
- Structural properties of affine sparsity constraints (Q2425165) (← links)
- A successive difference-of-convex approximation method for a class of nonconvex nonsmooth optimization problems (Q2425176) (← links)
- Split Bregman iteration for multi-period mean variance portfolio optimization (Q2662553) (← links)
- High-dimensional sparse portfolio selection with nonnegative constraint (Q2700403) (← links)
- An efficient optimization approach for a cardinality-constrained index tracking problem (Q2815504) (← links)
- Liquidity risk and instabilities in portfolio optimization (Q2816955) (← links)
- The effect of estimation in high-dimensional portfolios (Q2847243) (← links)
- Robust portfolio techniques for mitigating the fragility of CVaR minimization and generalization to coherent risk measures (Q2871416) (← links)
- A concave optimization-based approach for sparse portfolio selection (Q2905343) (← links)
- Resolution of Degeneracy in Merton's Portfolio Problem (Q2953941) (← links)
- An Augmented Lagrangian Method for Non-Lipschitz Nonconvex Programming (Q2957850) (← links)
- Replica approach to mean-variance portfolio optimization (Q3302503) (← links)
- Analytic solution to variance optimization with no short positions (Q3302932) (← links)
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4554411) (← links)
- Portfolio optimization under Expected Shortfall: contour maps of estimation error (Q4554495) (← links)
- Optimal execution with non-linear transient market impact (Q4555057) (← links)
- Sparse Weighted-Norm Minimum Variance Portfolios (Q4555586) (← links)
- Nonasymptotic convergence of stochastic proximal point algorithms for constrained convex optimization (Q4558525) (← links)
- (Q4614099) (← links)
- Positive-Definite ℓ<sub>1</sub>-Penalized Estimation of Large Covariance Matrices (Q4904725) (← links)
- Vast Portfolio Selection With Gross-Exposure Constraints (Q4916498) (← links)
- Dynamic portfolio optimization across hidden market regimes (Q4957232) (← links)
- (Q4969160) (← links)
- Sparse partial least squares regression for on‐line variable selection with multivariate data streams (Q4969714) (← links)
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
- A cost-effective approach to portfolio construction with range-based risk measures (Q4991085) (← links)
- Bias-variance trade-off in portfolio optimization under expected shortfall with $ \newcommand{\e}{{\rm e}} {\ell_2}$ regularization (Q5006871) (← links)
- A descent algorithm for constrained LAD-Lasso estimation with applications in portfolio selection (Q5034163) (← links)
