Portfolio Selection with Regularization (Q5865917)

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scientific article; zbMATH DE number 7539536

Language	Label	Description	Also known as
English	Portfolio Selection with Regularization	scientific article; zbMATH DE number 7539536

Statements

scholarly article

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Portfolio Selection with Regularization (English)

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Asia-Pacific Journal of Operational Research

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publication date

10 June 2022

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zbMATH Keywords

regularized portfolio selection

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group selection

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Sharpe ratio

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transaction cost

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portfolio leverage

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MaRDI profile type

MaRDI publication profile

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Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers

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Sparse and stable Markowitz portfolios

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An application of sparse-group Lasso regularization to equity portfolio optimization and sector selection

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A Unified Algorithmic Framework of Symmetric Gauss-Seidel Decomposition Based Proximal Admms for Convex Composite Programming

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Fast projection onto the simplex and the \(l_1\) ball

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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms

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Constructing optimal sparse portfolios using regularization methods

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Hankel Matrix Rank Minimization with Applications to System Identification and Realization

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On Alternating Direction Methods of Multipliers: A Historical Perspective

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On the role of norm constraints in portfolio selection

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Linear Rate Convergence of the Alternating Direction Method of Multipliers for Convex Composite Programming

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Fast Algorithms for Large-Scale Generalized Distance Weighted Discrimination

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Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming

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A generalized alternating direction method of multipliers with semi-proximal terms for convex composite conic programming

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Solving norm constrained portfolio optimization via coordinate-wise descent algorithms

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full work available at URL

https://doi.org/10.1142/s0217595921500160

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Identifiers

zbMATH Open document ID

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10.1142/S0217595921500160

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:5865917

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