scientific article; zbMATH DE number 7255128

zbMath1502.91056MaRDI QIDQ4969160

Liangda Fang, Xiaotian Wu, Zhao-Rong Lai, Liming Tan

Publication date: 5 October 2020

Full work available at URL: https://jmlr.csail.mit.edu/papers/v21/19-959.html

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

downside riskshort-term portfolio optimizationloss controlrank-one covariance estimateundersampled condition

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

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• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
• Prospect Theory: An Analysis of Decision under Risk
• Universal Portfolios
• The multivariate L ₁ -median and associated data depth
• Online portfolio selection
• The Algebraic Combinatorial Approach for Low-Rank Matrix Completion
• Safety First and the Holding of Assets

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