Pages that link to "Item:Q645500"
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The following pages link to On the role of norm constraints in portfolio selection (Q645500):
Displaying 24 items.
- Robust scenario-based value-at-risk optimization (Q286009) (← links)
- Minimizing loss probability bounds for portfolio selection (Q439383) (← links)
- CVaR norm and applications in optimization (Q476266) (← links)
- Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios (Q744224) (← links)
- Stable portfolio selection strategy for mean-variance-CVaR model under high-dimensional scenarios (Q783138) (← links)
- Optimizing over coherent risk measures and non-convexities: a robust mixed integer optimization approach (Q902084) (← links)
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms (Q1623568) (← links)
- Asset allocation strategies based on penalized quantile regression (Q1789637) (← links)
- Relative utility bounds for empirically optimal portfolios (Q2040434) (← links)
- Bilevel cutting-plane algorithm for cardinality-constrained mean-CVaR portfolio optimization (Q2231331) (← 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)
- Improved estimation of optimal portfolio with an application to the US stock market (Q2301211) (← links)
- Diversified minimum-variance portfolios (Q2351637) (← links)
- Interaction between financial risk measures and machine learning methods (Q2355190) (← links)
- A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (Q3117825) (← links)
- Multiple Constraints and Hicksian Complementarity: A Generalization and an Application to Portfolio Choice (Q4483689) (← links)
- Technical Note—A Robust Perspective on Transaction Costs in Portfolio Optimization (Q4971373) (← links)
- Out-of-Sample Utility Bounds for Empirically Optimal Portfolios in a Single-Period Investment Problem (Q5014532) (← links)
- Portfolio Construction by Mitigating Error Amplification: The Bounded-Noise Portfolio (Q5129173) (← links)
- Portfolio Selection with Regularization (Q5865917) (← links)
- Norm constrained minimum variance portfolios with short selling (Q6088763) (← links)
- Cardinality-constrained distributionally robust portfolio optimization (Q6112845) (← links)
- A Krasnoselskii-Mann proximity algorithm for Markowitz portfolios with adaptive expected return level (Q6670350) (← links)
