Pages that link to "Item:Q2355718"
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The following pages link to Constructing optimal sparse portfolios using regularization methods (Q2355718):
Displaying 41 items.
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
- The effect of regularization in portfolio selection problems (Q828760) (← links)
- Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
- Risk minimization in multi-factor portfolios: what is the best strategy? (Q1621911) (← links)
- Tracking hedge funds returns using sparse clones (Q1621921) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718) (← links)
- DC programming and DCA: thirty years of developments (Q1749443) (← 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)
- Quantile-based optimal portfolio selection (Q2051167) (← links)
- Quantile-based portfolios: post-model-selection estimation with alternative specifications (Q2051169) (← links)
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization (Q2057226) (← links)
- Regularized factor portfolio for cross-sectional multifactor models (Q2082324) (← 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)
- 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)
- Un-diversifying during crises: is it a good idea? (Q2320465) (← links)
- A Tikhonov regularized penalty function approach for solving polylinear programming problems (Q2406305) (← links)
- Adaptive \(l_1\)-regularization for short-selling control in portfolio selection (Q2419515) (← links)
- Sparse and stable Markowitz portfolios (Q3069222) (← links)
- Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation (Q3465255) (← links)
- Sparse Weighted-Norm Minimum Variance Portfolios (Q4555586) (← links)
- Sparse Portfolios for High-Dimensional Financial Index Tracking (Q4621524) (← links)
- A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
- Tail risks in large portfolio selection: penalized quantile and expectile minimum deviation models (Q4991070) (← 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)
- Regularizing portfolio optimization (Q5131405) (← links)
- A penalty PALM method for sparse portfolio selection problems (Q5268895) (← links)
- Portfolio Selection with Regularization (Q5865917) (← links)
- Non-convex regularization and accelerated gradient algorithm for sparse portfolio selection (Q5882243) (← links)
- High-dimensional sparse index tracking based on a multi-step convex optimization approach (Q6053116) (← links)
- A low-cost alternating projection approach for a continuous formulation of convex and cardinality constrained optimization (Q6063782) (← links)
- Sparse and risk diversification portfolio selection (Q6097487) (← links)
- Mean-variance efficient large portfolios: a simple machine learning heuristic technique based on the two-fund separation theorem (Q6547041) (← links)
- Nonconvex multi-period mean-variance portfolio optimization (Q6596973) (← links)
