Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation

DOI10.1137/15M1007872zbMath1330.91173arXiv1502.01658OpenAlexW1719995771MaRDI QIDQ3465255

Zheng Sun, Michael Ho, Jack X. Xin

Publication date: 21 January 2016

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.01658

zbMATH Keywords

parameter uncertaintyfast computationmean-variance portfolioadaptive support split-Bregmanpairwise elastic net regularizationstatistical weight estimationweighted elastic net regularization

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Robustness and adaptive procedures (parametric inference) (62F35) Bootstrap, jackknife and other resampling methods (62F40) Numerical optimization and variational techniques (65K10) Portfolio theory (91G10)

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