Pages that link to "Item:Q3117825"
From MaRDI portal
The following pages link to A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (Q3117825):
Displaying 50 items.
- Estimation of the global minimum variance portfolio in high dimensions (Q90168) (← links)
- On the diversity constraints for portfolio optimization (Q280668) (← links)
- Nonparametric eigenvalue-regularized precision or covariance matrix estimator (Q292867) (← links)
- A Krylov subspace approach to large portfolio optimization (Q311020) (← links)
- Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach (Q319341) (← links)
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability (Q319811) (← links)
- Linear shrinkage estimation of large covariance matrices using factor models (Q321913) (← links)
- Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
- A Bayesian information criterion for portfolio selection (Q429627) (← links)
- Minimizing loss probability bounds for portfolio selection (Q439383) (← links)
- Risks of large portfolios (Q494174) (← links)
- A theoretical foundation of portfolio resampling (Q497474) (← links)
- Properties, formulations, and algorithms for portfolio optimization using mean-Gini criteria (Q513570) (← links)
- Penalized least squares estimation with weakly dependent data (Q525888) (← links)
- Conditional value-at-risk in portfolio optimization: coherent but fragile (Q635502) (← links)
- On the role of norm constraints in portfolio selection (Q645500) (← links)
- Filtering via approximate Bayesian computation (Q693364) (← links)
- Regularized optimization with spatial coupling for robust decision making (Q723991) (← links)
- 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)
- An optimization model for minimizing systemic risk (Q829210) (← links)
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084) (← links)
- Construction, management, and performance of sparse Markowitz portfolios (Q905387) (← links)
- Risk-budgeting multi-portfolio optimization with portfolio and marginal risk constraints (Q1615810) (← links)
- Multiobjective portfolio optimization: bridging mathematical theory with asset management practice (Q1615977) (← links)
- Robust risk budgeting (Q1621907) (← links)
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets (Q1621908) (← links)
- Risk minimization in multi-factor portfolios: what is the best strategy? (Q1621911) (← links)
- Tracking hedge funds returns using sparse clones (Q1621921) (← links)
- A linear programming model for selection of sparse high-dimensional multiperiod portfolios (Q1622825) (← links)
- Dynamic factor multivariate GARCH model (Q1623556) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Multiple tests for the performance of different investment strategies (Q1633252) (← links)
- Convergence of a Scholtes-type regularization method for cardinality-constrained optimization problems with an application in sparse robust portfolio optimization (Q1639718) (← links)
- Portfolio optimization based on stochastic dominance and empirical likelihood (Q1668578) (← links)
- A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data (Q1668581) (← links)
- Using principal component analysis to estimate a high dimensional factor model with high-frequency data (Q1676387) (← links)
- Naive versus optimal diversification: tail risk and performance (Q1681368) (← links)
- Asset allocation with correlation: a composite trade-off (Q1683161) (← links)
- Sparse tangent portfolio selection via semi-definite relaxation (Q1694793) (← links)
- Feature selection for portfolio optimization (Q1699122) (← links)
- Trace class Markov chains for the normal-gamma Bayesian shrinkage model (Q1711607) (← links)
- On analyzing and detecting multiple optima of portfolio optimization (Q1716944) (← links)
- Sparse Markowitz portfolio selection by using stochastic linear complementarity approach (Q1716964) (← links)
- DEA frontier improvement and portfolio rebalancing: an application of China mutual funds on considering sustainability information disclosure (Q1744488) (← links)
- More possessions, more worry (Q1751286) (← links)
- An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets (Q1752147) (← links)
- Chance-constrained optimization for pension fund portfolios in the presence of default risk (Q1752186) (← links)
- Computing near-optimal value-at-risk portfolios using integer programming techniques (Q1754091) (← links)
- Robust consumption and portfolio policies when asset prices can jump (Q1757535) (← links)
