Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Sparse and risk diversification portfolio selection - MaRDI portal

Sparse and risk diversification portfolio selection (Q6097487)

From MaRDI portal

Jump to:navigation, search

scientific article; zbMATH DE number 7692821

Language	Label	Description	Also known as
English	Sparse and risk diversification portfolio selection	scientific article; zbMATH DE number 7692821

Statements

scholarly article

0 references

Sparse and risk diversification portfolio selection (English)

0 references

0 references

0 references

Optimization Letters

0 references

publication date

5 June 2023

0 references

zbMATH Keywords

sparse portfolio selection

0 references

non-convex regularization

0 references

accelerated proximal algorithm

0 references

linear convergence

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1007/s11590-022-01914-5

0 references

Sparse and stable Markowitz portfolios

0 references

A Fast Iterative Shrinkage-Thresholding Algorithm for Linear Inverse Problems

0 references

Enhancing sparsity by reweighted \(\ell _{1}\) minimization

0 references

Restricted isometry properties and nonconvex compressive sensing

0 references

Convex relaxations and MIQCQP reformulations for a class of cardinality-constrained portfolio selection problems

0 references

Portfolio Selection with Robust Estimation

0 references

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

0 references

Variable Selection via Nonconcave Penalized Likelihood and its Oracle Properties

0 references

Vast Portfolio Selection With Gross-Exposure Constraints

0 references

Constructing optimal sparse portfolios using regularization methods

0 references

Recovering Sparse Signals With a Certain Family of Nonconvex Penalties and DC Programming

0 references

Splitting Algorithms for the Sum of Two Nonlinear Operators

0 references

Active allocation of systematic risk and control of risk sensitivity in portfolio optimization

0 references

Portfolio selection with the effect of systematic risk diversification: formulation and accelerated gradient algorithm

0 references

A new piecewise quadratic approximation approach for \(L_0\) norm minimization problem

0 references

0 references

Recent advances in mathematical programming with semi-continuous variables and cardinality constraint

0 references

Linear Convergence of Proximal Gradient Algorithm with Extrapolation for a Class of Nonconvex Nonsmooth Minimization Problems

0 references

L 1/2 regularization

0 references

An efficient optimization approach for a cardinality-constrained index tracking problem

0 references

Nearly unbiased variable selection under minimax concave penalty

0 references

Portfolio selection with marginal risk control

0 references

Identifiers

zbMATH Open document ID

0 references

10.1007/s11590-022-01914-5

0 references

Mathematics Subject Classification ID

0 references

zbMATH DE Number

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:6097487

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q6097487&oldid=37521610"