Pages that link to "Item:Q4555586"

The following pages link to Sparse Weighted-Norm Minimum Variance Portfolios (Q4555586):

Displaying 14 items.

• Sparse and robust normal and \(t\)-portfolios by penalized \(L_q\)-likelihood minimization (Q322443) (← links)
• On the role of norm constraints in portfolio selection (Q645500) (← links)
• Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
• Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach (Q1787328) (← links)
• Large-scale minimum variance portfolio allocation using double regularization (Q2191518) (← links)
• Constructing optimal sparse portfolios using regularization methods (Q2355718) (← links)
• Sparse and stable Markowitz portfolios (Q3069222) (← links)
• A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (Q3117825) (← links)
• Bootstrap maximum likelihood for quasi-stationary distributions (Q4613965) (← links)
• A Sparse Learning Approach to Relative-Volatility-Managed Portfolio Selection (Q4988547) (← links)
• Sparse index clones via the sorted ℓ₁-Norm (Q5068095) (← links)
• Estimation of the optimal portfolio weights by shrinking the mean vector towards a linear subspace (Q5402494) (← links)
• Bagged Pretested Portfolio Selection (Q6190724) (← links)
• A Nodewise Regression Approach to Estimating Large Portfolios (Q6617775) (← links)