Pages that link to "Item:Q3069222"
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The following pages link to Sparse and stable Markowitz portfolios (Q3069222):
Displaying 36 items.
- Sparse index clones via the sorted ℓ<sub>1</sub>-Norm (Q5068095) (← links)
- Closed-form solutions for short-term sparse portfolio optimization (Q5090290) (← links)
- Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity (Q5097217) (← links)
- High-dimensional Markowitz portfolio optimization problem: empirical comparison of covariance matrix estimators (Q5107390) (← links)
- Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio (Q5129173) (← links)
- The Trimmed Lasso: Sparse Recovery Guarantees and Practical Optimization by the Generalized Soft-Min Penalty (Q5162621) (← links)
- Statistical inference for the tangency portfolio in high dimension (Q5163043) (← links)
- Stochastic regularization for the mean-variance allocation scheme (Q5234343) (← links)
- Cardinality versus<i>q</i>-norm constraints for index tracking (Q5247282) (← links)
- Optimal Diversification in the Presence of Parameter Uncertainty for a Risk Averse Investor (Q5250044) (← links)
- A penalty PALM method for sparse portfolio selection problems (Q5268895) (← links)
- Sparse solution of nonnegative least squares problems with applications in the construction of probabilistic Boolean networks (Q5739731) (← links)
- Higher order moments of the estimated tangency portfolio weights (Q5861531) (← links)
- Portfolio Selection with Regularization (Q5865917) (← links)
- Portfolio optimisation using constrained hierarchical bayes models (Q5880169) (← links)
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection (Q5882243) (← links)
- Bayesian Estimation and Optimization for Learning Sequential Regularized Portfolios (Q5886361) (← links)
- Portfolio management with higher moments: the cardinality impact (Q6066673) (← links)
- A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints (Q6079984) (← links)
- A novel regularization-based optimization approach to sparse mean-reverting portfolios selection (Q6088537) (← links)
- On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates (Q6090580) (← links)
- A bi‐level programming framework for identifying optimal parameters in portfolio selection (Q6092501) (← links)
- Sparse and risk diversification portfolio selection (Q6097487) (← links)
- Sharpe ratio analysis in high dimensions: residual-based nodewise regression in factor models (Q6108258) (← links)
- Analytic approach to variance optimization under an \(\mathcal{l}_1\) constraint (Q6108639) (← links)
- A LINEAR-PROGRAMMING PORTFOLIO OPTIMIZER TO MEAN–VARIANCE OPTIMIZATION (Q6182050) (← links)
- Bagged Pretested Portfolio Selection (Q6190724) (← links)
- Time-weighted nonnegative bridge index-tracking model and its application (Q6544225) (← links)
- Dynamic currency hedging with non-Gaussianity and ambiguity (Q6546319) (← links)
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem (Q6547041) (← links)
- Partially egalitarian portfolio selection (Q6556152) (← links)
- Penalty method for the sparse portfolio optimization problem (Q6574067) (← links)
- Sample and realized minimum variance portfolios: estimation, statistical inference, and tests (Q6602369) (← links)
- A Synthetic Regression Model for Large Portfolio Allocation (Q6620982) (← links)
- Barzilai–Borwein-like rules in proximal gradient schemes for ℓ <sub>1</sub> -regularized problems (Q6640996) (← links)
- Group projected subspace pursuit for block sparse signal reconstruction: convergence analysis and applications (Q6657433) (← links)
