Closed-form solutions for short-term sparse portfolio optimization

DOI10.1080/02331934.2020.1839071zbMath1495.90141OpenAlexW3097891353MaRDI QIDQ5090290

Ziyan Luo, Xiaotong Yu, Nai-Hua Xiu, Xing-Yuan Wang

Publication date: 18 July 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2020.1839071

zbMATH Keywords

closed-form solutionsparse optimization\(\ell_0\)-normshort-term portfolio optimization

Mathematics Subject Classification ID

Applications of mathematical programming (90C90) Nonconvex programming, global optimization (90C26)

Related Items (1)

High-dimensional sparse portfolio selection with nonnegative constraint

Cites Work

• Unnamed Item
• Unnamed Item
• PAMR: passive aggressive mean reversion strategy for portfolio selection
• Fast algorithms for sparse portfolio selection considering industries and investment styles
• Robust and sparse portfolio model for index tracking
• Optimal Cardinality Constrained Portfolio Selection
• Sparse and stable Markowitz portfolios
• Weighted Elastic Net Penalized Mean-Variance Portfolio Design and Computation
• A Robust Statistics Approach to Minimum Variance Portfolio Optimization
• Regularizing portfolio optimization
• OPTIMAL LOT SOLUTION TO CARDINALITY CONSTRAINED MEAN–VARIANCE FORMULATION FOR PORTFOLIO SELECTION
• Nonparametric nearest neighbor based empirical portfolio selection strategies
• Credit portfolio selection with decaying contagion intensities

This page was built for publication: Closed-form solutions for short-term sparse portfolio optimization