A penalty decomposition algorithm with greedy improvement for mean‐reverting portfolios with sparsity and volatility constraints

Related Items

Model and efficient algorithm for the portfolio selection problem with real‐world constraints under value‐at‐risk measure, A novel regularization-based optimization approach to sparse mean-reverting portfolios selection, The performance of bank portfolio optimization

Cites Work

Unnamed Item
New results on Hermitian matrix rank-one decomposition
Problems of distance geometry and convex properties of quadratic maps
Three $l_1$ based nonconvex methods in constructing sparse mean reverting portfolios
Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment
Sparse mean-reverting portfolios via penalized likelihood optimization
Adaptive $l_1$-regularization for short-selling control in portfolio selection
On the Rank of Extreme Matrices in Semidefinite Programs and the Multiplicity of Optimal Eigenvalues
Distribution of the Estimators for Autoregressive Time Series With a Unit Root
Sparse and stable Markowitz portfolios
Identifying small mean-reverting portfolios
Cointegration: Overview and Development
Strong Duality for the CDT Subproblem: A Necessary and Sufficient Condition
A canonical analysis of multiple time series
New Results on Quadratic Minimization
Mean-Reverting Portfolio With Budget Constraint
Optimal Mean-Reverting Portfolio With Leverage Constraint for Statistical Arbitrage in Finance
Least Sparsity of $p$-Norm Based Optimization Problems with $p>1$
Conditional Gradient Algorithmsfor Rank-One Matrix Approximations with a Sparsity Constraint
On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Efficient computation of mean reverting portfolios using cyclical coordinate descent
Solving High-Order Portfolios via Successive Convex Approximation Algorithms
Solution uniqueness of convex piecewise affine functions based optimization with applications to constrained ℓ₁ minimization
Sparse Approximation via Penalty Decomposition Methods
Optimizing sparse mean reverting portfolios
Sparse, mean reverting portfolio selection using simulated annealing
On Cones of Nonnegative Quadratic Functions
A survey on compressive sensing: classical results and recent advancements
Robust reward–risk ratio portfolio optimization